Are you planning to roll the old 401k into an IRA or into the new 401k? If the latter, make sure that the new 401k actually accepts such roll-ins, as far as I know they don't necessarily have to. Also you don't necessarily have to roll out the money from your old provider, that depends on the plan (and usually the amount you have invested).
Either way you'd want to make this rollover as a trustee-to-trustee transfer, ever the money is directly transferred from your old 401k provider to your new IRA/401k provider. The new provider should have a form for that, contact them. The old provider will liquidate the funds and transfer the money to the new provider. You may lose money in the conversation, if the old provider charges a fee or of some of the funds with them had back-end loads.