I wish this were an option too but sadly, no- Rogers and Fido voicemail isn't housed on your phone it's housed on the Rogers servers...which are different than the BB servers. That's why you need to dial into your voicemail. I SO with this were an option believe me...I have voicemails from my Grandmother (whose now dead) that I'd love to save but I can't. I've even called Rogers tech support and they couldn't help me. GARG!
...Other than that I would guess that you could somehow plug something into your headphone slot and record it that way.
Yes, I've done that before; just plugged in a double male ended cable into the phone, and into my laptop and recorded it as an mp3. Works great, aside from not being able to do it right on the phone itself.