Setting up voicemail on iPhone is easy using the Voicemail tab in the Phone app, where you can use a default or custom ...
Even if you don't want to talk on the phone, you should still set up voicemail. On the iPhone, Visual Voicemail provides a transcription of the message, while Live Voicemail lets you prescreen calls.
Anyone who has your cell phone number can contact you by ringing you up. However, that doesn't mean you will always want to answer. For this particular situation, or for those times when you're busy ...