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It should keep them in the system and when you get the new phone, the existing voicemails "should" sync back when you set up the voicemail.
Still, you should back them up on your sd card just to be careful.
I think the folder might be named "VVM" or something. I am not real sure.
Also, how old are your voicemails. Some compaines have a policy that they delete them after 30 days. Check w/MetroPCS.
The VVM's go back over a year!, Where to find that folder? I was told that the VVMs do NOT reside on the phone.