For variety of reasons I think it's better to do it on Anveo website. It is also possible to set it up on OBi - in SP1 Service - Calling features section. However, from Anveo's perspective, there will be three channels (the call you are having, incoming call to you, and outgoing call to GV).
You may send the forwarded call over GV channel, but I am afraid the caller may get your "check your messages" IVR, rather than "leave the message". Worth a try.
And, of course, either way, you will subject the callers to wait for you to pick up, and then another 25 seconds for GV to pick up.