When I transferred from EdJ to Vanguard a few years ago, I had Edward Jones liquidate my accounts first. I wanted to invest in Vanguard's index funds, and didn't want to keep any of what EdJ had me invested in, so I think this was probably the easiest way to go about it. I transferred a ROTH and a SEP IRA, and EdJ charged ~$100 to close each account, but there were no extra fees to sell the funds (that I'm aware of).
The transfer was pretty easy, except for waiting for everything to settle - it's not an instantaneous process.