There are 2 parts to setting up individual voicemails. First they need to be enabled in the user profile.
Then the recording needs to be set. Open the profile menu from the top right:
And scroll down to the bottom and click record.
Once the recording is set the personal voicemail will be active. They will show up on the dashboard like normal voicemails, but the will be marked Personal, and only visible to the extension owner.