To transfer a domain from one registrar to another you need to ask your current domain registrar for a domain registrar transfer code.
Go to godaddy manage domain part of the control panel.
Unlock the domain you want to transfer, then you will go your new domain registrar and click on transfer domain to the new registrar and then give the new registrar the transfer code.
It's different depending on what registrar you use. They'll most likely have a guide for you to help you more clearly on transferring your domain.
But once you do domain transfers a few times then it gets easier.