Sols, see if you can set up a recorder - if she's threatening, the police will treat it seriously and loan you one.
Or, re-set your phone to answer after just two rings, and have a male friend record a new message in a breathy voice: "Well, hi there, you're through to Spanking Heaven. We're all tied up right now with clients, but leave your name and number, and we'll get back to you as soon as we're free. Happeeee hanky-spanky!" But remember to tell your pals about it first...