The quickest way is online, and it usually takes a few minutes.
Transfers are generally processed within about 3 business days. One thing to know: transfers done through myGov move your whole balance and close the old account. If you only want to move part of a balance, you'll need to arrange that directly with your fund.
Consolidating doesn't tell your employer where to send future contributions. If you close the account your employer pays into, those payments can bounce.
To keep things flowing, give your employer a choice of fund form with your chosen fund's details, and don't close the old account until you've confirmed contributions are landing in the new one. If a recent payment is still in transit, it's worth waiting for it to clear first.