Do you leave voicemails on your cold calls, or any sales call with a potential new customer? What do you say so they call back?

Generally very unlikely to get a call back from a voicemail although it does happen. I'd spend the valuable minute you have on a voicemail to point them to an email you've already sent them, that includes links to your website, your products, etc to allow them to explore what it is you do and how you can help them with no pressure. 

You may then get an email response to book a meeting or decline your services but I've found it's a much better way to get their attention and it's the way modern buyers want to engage.

For a warm call, yes. On a cold call, typically on the 3rd or maybe even 5th outreach.