I've done this 3 times in the past 18 months with Vanguard, first 401k from Aon Hewitt, then Fidelity, then Wells Fargo. The steps are easy:
1. Pick what type of IRA you want the money to go to (probably a "traditional" IRA if you are coming from a normal tax-deferred 401k). This is the easiest and creates no tax issues to deal with.
2. Pick what type of investments you want your money to go into. Around here, most people recommend either a S&P500 or a Total Stock Market index fund (VFIAX or VTSAX if you have more than $10k you are rolling over and qualify for "Admiral Shares" which have lower expense ratios)
3. Find the phone number for your current 401k manager (for instance, if your 401k is managed by Wells Fargo, you'll need the Wells Fargo Retirement Customer Service number)
4. Call Vanguard at 1-800-523-9442. You will quickly talk to a real person who will create a new account for you and then conference call with your old 401k provider. Doing it this way skips all of the bullshit you might get from some companies that want to continue to manage your 401k (and thus collect fees from you). With the Vanguard representative on the line recording the call, the other company wants to move quickly and get it done.
In the conference call, your old 401k will ask you to verify your account details and then ask for permission to discuss your account with the rep from Vanguard. You say yes, and then they talk among themselves for a few minutes about how to do the transfer. Usually it involves your old bank mailing a check to Vanguard so they have to exchange addresses and who to make the check out to etc. Then the old 401k rep will ask you to confirm all the details and then hang up. The Vanguard rep will tell you everything is set and it will be in your account as soon as the check arrives.
As for commissions, when transferring to Vanguard, the only commission you MAY have to pay is to the old bank but most don't have a fee for that (none of my 3 rollovers recently had any fees).
As for dividends, I think you're asking when do companies announce dividends and the answer is could be every 3 months could be every month, could be once a year, but each company is different so there shouldn't be any one week that is better than another to do the rollover. Basically the rollover will cause you to not own a stock for the time the check is in the mail, so if a company announces a dividend based on ownership of the stock on a day while your check was in the mail you'll miss out on that dividend. But because every company is different, you likely will not miss out on anything too large (at least assuming no one company has a overly large portion of your assets).