Few thoughts:
1) As someone else mentioned, an auto dialer will make your life a lot easier
2) The conversion rate will be dependent on the type of leads you are using. A phone book will have an awful conversion rate, but something more qualified will be obviously better. Usually the cost of the leads are commensurate with the quality as you can imagine.
3) I would focus mostly on customer acquisition cost as a metric for your success or effectiveness. The value of your time, the cost of your lead relative the number of leads you convert into customers.
4) On the leaving messages vs. not. I always leave a message, but leave myself an out to call back by saying "Hi this Chris with .................... I can be reached at XXX-XXX-XXXX. I know you are busy, so if i don't hear from you by X, I will try calling you back" (with this approach, you set the expectation that you will be calling even if you leave a message so there isn't the dilmena of painting yourself into a corner by leaving a message and waiting for a response)
I never leave a message unless they have called me first.....total waste of time....they aren't going to call you back. I've had people call me back after seeing my name on their caller ID box several times (suspense gets to those seniors quickly!) I also keep my phone listed as a "personal" line.....If your are calling from a biz phone that says "Smith Insurance" rest assured, they are not going to pick up the phone!