So here I move to VPS. To transfer my domain I need to set up name servers..

I have Plesk control panel but it should be similar with other control panels..

Plesk gives you some default name servers but one of the requirements from my domain registrar ( I have a foreign domain and no access to change my own dns servers) was to have TWO dns servers.

Luckily give 3 IP addresses for VPS. So you need to add at least one more.. then..
plesk->homepage->yourdomain->DNS zone management
1-Delete the current NS record in your dns zone
So delete: A YourIP NS

2-Add two A records for nameservers, like: IN A yourFirstIP IN A yoursecondIP

3-Add two new NS records like: IN NS IN NS

Hope this information was useful.