How to setup separate voicemail for my two phone lines ?

There would be a couple of ways to do it. You could create two call queues (one for each number), add your extension to both, and when a VM is left it will be independent VMs per queue and number.

You could also create two message only extensions (one for each #) and create a simple IVR that says press 1 if you've dialed number 1 or 2 if you've dialed number 2. You would then go to your extension and have calls route to that IVR if you don't pickup, rather than going to the default extension mailbox for your seat.

I don't know your use case or call flow needs, but there are ways to do what you want.