Nobody as an individual can set up a 457 at vanguard. But your DH can either rollover his 457 to an IRA or a 401k at a new job (not sure if he's taking a new job), which I would not recommend because he will lose access to his money, or just keep his money at his current 457, which is what he should do to be able to make penalty free withdrawals whenever he wants.
The one exception is if his new job offers institutional shares of vanguard's funds in the 401k, which are actually cheaper than what you can get as an individual. In that case, rollover the 457 funds