You can save yourself some time and button pushes by storing your voicemail password along with the voicemail number. Then when you press the voicemail shortcut in the Phone Dialer, it will go straight through.
Go under Menu > Settings > Call Settings > Voicemail Settings, and set the number to:
*86,,XXXX#
where each "," represents a pause
XXXX = your pin code
I sorta winged it since on my last phone I used "P" for pause, but Android won't allow me to enter letters no matter what I try. So I could be wrong about using "," but I tried it and it works!