You should normally be able to transfer without selling anything. You should be able to do a direct-transfer where MS sends your holdings directly to a Vanguard ROTH account.
Talk to the Vanguard people first. (edited) the Vanguard IRA/ROTH IRA specialists should be able to describe the process to you first, and give you the proper account number and any other routing data needed for the transfer. And you can describe to the Vanguard people what holdings you have in the MS ROTH IRA account (just in case it does contain something that must be sold first)....all before you talk to the MS people about doing the direct transfer.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*
