Why in the wide-wide-world-of-sports would you ever want to do this? One poster above mentioned rolling his Vanguard into TSP. Look, TSP is great in a 401k-type sense, and it was great when they finally opened it up to the Military (about friggin time!). But compared to most commercial vehicles, ...meh. And especially compared to one of the best managed index fund companies around (Vanguard), why in the hell would you want to trade down like that.
In fact, SOMEONE mentioned a really great reason (among many) why you might not want to do this:
It's a good deal: invest $5k in your Roth IRA with a solid commercial manager, and another $17k in TSP. After retirement, roll-over the TSP into a commercial vehicle.
Don't over-think it.