GoDaddy have very good instructions here http://help.godaddy.com/article/2229 (sorry, not allowed to use live links yet) Those instructions are valid for any transfer, not only for GoDaddy. Slightly OT but I started my second transfer to today. Did a "test" transfer first because I wasn't sure how it worked but it really is exactly how is described in the like I gave.
Yes, I had sold a domain through Sedo and the buyer wanted the domain at GoDaddy. I have sold other domains, but the transfer procedure to GoDaddy is the worst, complicated and then payment from Sedo is also delayed.