Just go to GoDaddy's main page and you'll see an option for domain Transfers, select that.
It'll ask you for the domain name "thename.com", then it'll ask if you're a new customer or have an existing account. Put in the details of your existing account (username and password), and confirm that you want to transfer the domain to yourself at this account.
Once you've done that I'll get an email asking me to approve the transfer, I will, then it'll go through.
You might be able to do it cheaper or even for free with one of your other registrars you say you have, GoDaddy charges $7.95 for transfers. But the process should be about the same at all of them so just decide which one you want to use and follow the steps.