SmugMug is not a domain registrar. We do have a reseller account with GoDaddy at smugmugdomains.com that you can transfer your domain to.
To transfer your existing domain, visit smugmugdomains.com. Then click on Domains > Domain Transfer to begin the process.
Note: If you purchased your domain directly from GoDaddy, to set up your domain to point to your SmugMug site, you'll need to use GoDaddy Connect. GoDaddy Connect won't work with domains purchased from SmugDomains.
Once transferred, the domain needs to be set up using a CNAME to point to SmugMug. Details for setting up the CNAME can be found here.