If you want to move it, Vanguard should have the appropriate paperwork. If not, just liquidate it and then contact Vanguard to move it. Moving IRAs from a bank like that is kind of a pain and takes a few weeks, but it can be done. Vanguard would be the one to initiate it.
Alternatively, you could have the credit union make a check payable to Vanguard and do a 60 rollover. It's not always preferable because you can only do one 60 day rollover per social per year. Also, the CD will still have to be liquidated.