Call your provider/record-keeper ASAP. Ask for their process and if an electronic wire is possible. Acquire any distribution form needed from your former employer. This may come from your HR department or boss. Keep in mind that many 401(k) providers still work with physical checks and might not offer electronic transfers. You may have to pay $10-$20 extra to overnight the mailed check if you need it expedited.
If you had to turn in a rollover form to your old employer, be sure to call and confirm it was received and processed. This gives the 401(k) provider authorization that you are the correct owner requesting and authorizing the distribution of the funds.
If you do not call your record-keeper or employer, this could make the 401(k) rollover process as long as 2 weeks.