Don't use the phrase "roll it." That could trigger an indirect rollover where the sponsor cuts a check, withholds 20% for taxes, and starts a 60-day countdown for the ex-employee to deposit the check plus the missing 20% into an IRA, which is exactly what OP is trying to avoid.

OP doesn't need to talk to 401(k) sponsor at all. OP needs to open the appropriate type of IRA, and give the 401(k) account details to the IRA sponsor to initiate a direct transfer.