You cannot.
Well, that's technically not true - you cannot
easily - there's no setting/option for that. What you'd need to do would be to extract and manually parse the backup of the iPhone that iTunes makes (voicemails are part of the backup), then convert the audio files from whatever format they are in (I have no idea) into something that iTunes can handle. Doing all of that is not a job for the casual user.
If you just want a recording, play the voicemail on your iPhone's speakerphone and record it using the internal mic on your computer, then import that file into iTunes. There are several freeware audio recording apps (check
http://www.versiontracker.com or
http://www.macupdate.com).