I just finished looking into this.
My HSA custodian charges $25 to transfer all or part of the balance anywhere, so my solution is to tell my employer to stop taking pre-tax contributions out of my paycheck. Instead, I will be making post-tax contributions to the HSA of my choice, then getting those taxes refunded at tax time each year.
I decided to go with "HealthSavings Administrators", by the way, because they offer Vanguard funds.