Creating a UDF(User Define Function) if is does not exist and skipping it if it exists

The easiest way to solve this is actually to delete the function if it already exists, and then re-create it:

/* If we already exist, get rid of us, and fix our spelling */
IF OBJECT_ID('dbo.FMT_PHONE_NBR') IS NOT NULL
  DROP FUNCTION FMT_PHONE_NBR
GO

/*CREATE FUNCTION TO FORMAT PHONE NUMBERS*/
CREATE FUNCTION [dbo].[FMT_PHONE_NBR](@phoneNumber VARCHAR(12))
RETURNS VARCHAR(12)
AS
BEGIN
    RETURN SUBSTRING(@phoneNumber, 1, 3) + '-' + 
           SUBSTRING(@phoneNumber, 4, 3) + '-' + 
           SUBSTRING(@phoneNumber, 7, 4)
END

GO

Note the usage of the ‘object_id’ function in the above. This is actually a pretty common way to check for the existence of an object, although it is subject to certain constraints.

You can read more about it here: OBJECT_ID