Transfer from 401k to Checking Account to Roth IRA

We got a check from my wife's 401k and we deposited it into our checking account, but then immediately transferred it over to a Roth IRA with a different bank. Is this money going to suffer the penalty for early withdrawal because we deposited into our checking account initially? We did not know how to get it from the check from the 401k to an IRA without first putting it into our account and then transferring it from there.