You have to do the transfer with the registrar you have it at, and the one you want to move it to. If you want to host it at another provider, you don't need to transfer the domain name from the registrar. You can even run your own server at home and use Dynamic DNS and be your own provider even though the domain is at a registrar.
Is it to save a couple dollars on yearly registration fee?
I Already have registered the domain need to know how do I transfer it...?