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

2-Add two A records for nameservers, like:

ns1.YourDomain.com IN A yourFirstIP
ns2.YourDomain.com IN A yoursecondIP

3-Add two new NS records like:
YourDomain.com IN NS ns1.Yourdoamin.com
YourDomain.com IN NS ns2.Yourdoamin.com

Hope this information was useful.