Need Help Moving IRAs

I have two traditional IRAs <$5,000 which I am looking to move. Both were automatic roll-overs from previous employers’ 401k plans. Both are charging annual fees which I would like to avoid. One is with Principal and the other Merrill Lynch. I have a 401k with my current employer at Vanguard.

So I have two questions for you all:

1. Where should I send them? Can I add them to my current 401k? Keep them as IRAs, but just move them to Vanguard? I’d like to keep them at my credit union for convenience, but do CUs typically have as good investments?
2. How do I transfer them? I’m getting mixed messages on this. My CU told me to contact the IRA holder first, Principal told me to contact my CU first, and I couldn’t get ahold of Merrill Lynch’s customer service (their website has no information on transferring IRAs out.)