This is a Smart thing to do as you will immediately have more options.
You can roll your 401K into any Investment House IRA,
USAA, Fidelity, Etc, but I'd just call Vanguard.
The easiest way is to roll it into a New Vanguard Brokerage IRA. You can do it over the Phone and they will send you a couple Docs to sign.
You will then have the option to invest any or all of your funds into virtually any Mutual Fund or buy any Stock, Bond, ETF etc.

Just remember the old saying.
(Q) How do you make a Pilot a Millionaire?

(A) Give him a Billion