You gain a lot of control when you roll an old 401(k) account into a new IRA. You pick the place for the IRA (like Vanguard, Fidelity, Schwab), so you can decide on a place with low expense ratios and the fund types you want. In a TSP or 401(k), the plan options can change at any time, and may not even start out with choices you like.
The way to go about it is pick a place, like Vanguard. You then reach out to Vanguard and ask what forms you need to fill out. They then take over and transfer your assets from the old plan to Vanguard. I prefer "cashing out" the old account, not keeping it's mutual funds, and then buying new funds when the cash arrives at Vanguard.
