Yahoo Finance has an excellent article this morning for DIY investors on how to rollover a 401k. Like many things in personal finance, it is something most people will do, possibly several times (it must follow a definite process), and not doing it right can be costly. I recommend the article be printed and saved to read in the future when the time comes.
The essentials are to be sure you have an IRA account opened up first, do a trustee-to-trustee transfer, and, if you have company stock, consult a financial advisor before doing the transfer. Sometimes considerable taxes can be saved by transferring the company stock to a taxable account. Again, consult an advisor.
I recommend transferring the assets in kind so that you aren't subject to the risk of being out of the market. This typically takes a couple of weeks and you don't want to be in cash for a couple of days when the market is on a tear.
Also, if you will need or want the money before you turn 62, consult an advisor. Some plans allow withdrawals before then without having to pay a 10% tax penalty.
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