Well, that was a relatively painless experience!
The procedure is similar to transferring a domain to a new registrar.
You have to unlock the domain at your registrar, get the authorisation code, and send that code to the new registrar - in this case, GoDaddy.
Within an hour, I had received an e-mail from my registrar, acknowledging the change of registrar, and giving me 5 days to cancel the transfer.
I logged into my registrar, and confirmed the transfer and requested an immediate transfer - it went through in less than an hour.
Now, I had to await payment!
That took 5 days, but now I have the funds in my PayPal account!
But, for whatever reason, the amount was 10 cents less than the amount agreed!
The virtual drinks are on me!