I had an old AF account; they'll hit you with an account closing fee of somewhere around $95 when you roll it over and a smaller transfer fee if I am remembering correctly (because they can). I rolled the account over "as is" - I didn't sell off anything until everything was transferred so that avoided some of the sell-off fees, but they'll still hit you with maintenance and account closing fees. The place I rolled it to actually paid me back the transfer fee that AF charged, but I'm not sure that Vanguard also does this. In any case, it's worth it to stop paying AF's high fees just for having the account with them, not counting the poor performance you've been paying for all along...
Call up Vanguard and ask them to walk you through what you need to do to transfer your account. Generally, you fill out some paperwork, provide a recent statement from the account, and they'll take care of the rest. It is actually really easy, but may take a few weeks to get completely moved (AF wasn't too long, but some of my other old stuff they dragged out for close to three weeks).
