Another option not available.
How to set a contact to be sent DIRECTLY to voicemail:
Choose your contact
Press the menu button
Check the box that says Incoming calls
I have 10 invites to Google Wave, anyone who wants a Google Wave invite, PM me.
A little editorial comment: The OP said another option not available, when in fact there are several ways to do this. It's something I see frequently. Someone blaming the Droid when in fact its user error or lack of knowledge about how their phone works. I saw KZIWarrior talking about this on another thread, he stated that he was tired of seeing this. This is a very basic function yet the OP was clueless.
I would suggest that a simple google would have explained this to the OP. I don't know what else he thinks the Droid doesn't do but in the future please use the search. Not just the forum search but google as well. This thread was totally unnecessary. Sorry if my comment was a bit harsh but I think its time somebody said something about this.
I've found folks on this forum to be astonishingly helpful (and kind) in answering what in retrospect seemed to have been a rather dumb question. (My own included.) All it takes is what Mom called "manners."