you are correct that they won't let you transfer your domain to quickly (it's about fraud prevention), but you can log into godaddy and set the nameservers for your domain to dreamhosts which are
which will allow your sites DNS to be managed by dreamhost. This will get you up and running. You can then transfer your domain later or never (some people prefer to keep domain hosting and domain registration seperate for a variety of reasons).
To answer the question that you actually asked, you can also do that. Here are a couple of wiki articles that will guide you.
The reason you would pick this opttion over the first answer I gave is if you had the site up and running on godaddy, but wanted to develop a new site at dreamhost and then switch them over.
In either case, keep in mind that DNS changes do not occur instantly. Either option there will be a delay of up to 72 hours as DNS propagates. (normally it's about 4-8 hours, but in some cases may take up to 72 hours).