For me it would depend on how many vm's I am hitting.
I'm starting my cold calling campaign monday, so I don't have my own stats yet as an indy agent....
However, if I found that I was encountering lot's of vm, like 30% or more, I don't know if I'd leave a vm the first time. Too much time tied up.
If you use the MOJO dialer, leaving voicemails won't take any extra time.