First of all, what iPod model do you have? If you have anything, but an 5th generation iPod nano, you will need to attach some some of third party accessory microphone or optional iPod Earphone in order for the Voice Memo menu to appear.
If you have a 5th generation Nano, it already has a built-in mic. So if the Voice memo feature isn't showing up, try a
reset of the iPod, or a
restore of it via iTunes.
For more information, see this Apple support document.
[iPod: Recording voice memos|http://support.apple.com/kb/ht2396]
Thanks. I've discovered that the "Voice memo" choice doesn't show up until I plug in the little "iTalk" mike thing. I couldn't find that choice before because I didn't have the iTalk plugged in! Cassie