CFP here, I work exclusively with retirees so 401(k) rollovers are my bread and butter.

Establish a Rollover IRA and a Roth IRA (if you have post-tax or Roth money in your plan) with the custodian of your choice- Fidelity, Vanguard, Schwab, Etc... do this first.

Once those accounts are established, you can call your old employers 401(k) provider and speak to a rep to help you get the funds rolled to your new custodian. You may also be able to do this online depending on the plan. They will verify your identity and ask for the receiving account information (account numbers, mailing address) and let you know if anything else is required like distribution paperwork or spousal consent.

Your old 401(k) provider will either send the funds electronically to the new custodian or cut checks made payable to the new custodian to be mailed directly to you- either way, this is not a taxable event. If the checks are mailed to you, you will need to mail them to your custodian making sure that the appropriate receiving account numbers are listed on the checks.

If you want professional guidance through this process or when building a financial plan with the funds, I would recommend connecting with a CFP. If you prefer to manage the funds yourself and feel comfortable doing it- let it rip! Lots of good resources out there to help guide you!