I transferred all my TSP savings to Vanguard a couple years ago. The Vanguard advisor took care of everything, including several three-way telephone calls with him, me, and the TSP folks. My case was a little more complicated since some of my TSP contributions were earned while in a combat zone, making them tax-free. But Vanguard was very helpful.
I transferred out of TSP because I wanted to consolidate most of my savings, so when (if) I kick the bucket, wife will not be overwhelmed figuring out where the $$ are.