As soon as I know they're dead (funeral, usually) I delete them from my phone.
I guess I just see it as a few bits in flash memory, even simpler a few electrical signals in some silicon. Nothing particularly sentimental, and not like I'll ever call them. I suppose if it were a sudden death and I could still hear their voice mail I might keep it for a while just for the novelty of hearing their recorded voice postmortem.
I suppose I've never been particularly sentimental about death..