To set up a personal voicemail greeting, open the Skype for Business client, browse to the Dialpad menu, click on the small cassette icon on the right-hand side about halfway down and choose Change Greetings.
A call window will open, choose option 2 to change your personal greeting. Choose Option 1 to play and record your personal greeting. You will then be able to record your voicemail message which will play if you aren't available to answer your phone. If you are asked to press the £ key after recording your greeting, you can press # instead and that will end the recording.
Option 2 for playing and recording your greeting for when your away will only play when you have an active Out of Office on. This recording will override the personal greeting of Option 1 if you have an Out of Office message applied to your account.