How to deposit Indirect Rollover Check to 401(k)?

Hi friends!

Quick question about an indirect rollover. I had a job that I was not at for a super long time, but while I was there I made some 401(k) contributions. Obviously not a whole lot in the account due to time but money is money. Anyway, because I did not transfer the money to my new retirement account (old one was Charles Schwab and new one is Fidelity) they forced me out and let me know an indirect rollover check is on the way.

My question is, how do I go about placing this money into my new 401(k) account? Do I need to pay back the apparent 20% cut in order to avoid penalties? What would happen if I just cashed the check into my personal account?

Thank you for your help, friends!

Edit: Adding a thought here-- we are expecting twins soon and we could of course use the cash. Because the amount of money is so little (and I imagine a penalty may also be relatively small) would we be better off cashing the check instead of having an entirely separate retirement account with a small amount of money? Would the IRS come after us?