Use Google Takeout to download an archive your entire Google Voice account. The structure of the Google Voice archive is explained here.
Individual voice messages can be directly downloaded from Google Voice: Just find the message you want to download, click the more link and choose Download. This will download a copy of the message in MP3 format.
You can also configure Google Voice to email transcripts of your voice messages to you at any email address.
Google Voice is still in limited release, and there's currently no way to import voice messages other than calling your Google Voice number's voicemail.