Srimad Bhagavatam Canto 04, Chapter 04, Text 24

SB 4.4.24

maitreya uvaca
ity adhvare daksam anudya satru-han
ksitav udicim nisasada santa-vak
sprstva jalam pita-dukula-samvrta
nimilya drg yoga-patham samavisat
Translation by His Divine Grace A. C. Bhaktivedanta Swami Srila Prabhupada: 
Maitreya the sage told Vidura: O annihilator of enemies, while thus speaking to her father in the arena of sacrifice, Sati sat down on the ground and faced north. Dressed in saffron garments, she sanctified herself with water and closed her eyes to absorb herself in the process of mystic yoga.
Purport by His Divine Grace A. C. Bhaktivedanta Swami Srila Prabhupada: 
It is said that when a man desires to quit his body he dresses in saffron garments. Therefore it appears that Sati changed her dress, indicating that she was going to quit the body given her by Daksa. Daksa was Sati’s father, so instead of killing Daksa she decided that it would be better to destroy the part of his body which was hers. Thus she decided to give up the body of Daksa by the yogic process. Sati was the wife of Lord Siva, who is known as Yogesvara, the best among all yogis, because he knows all the mystic processes of yoga, so it appeared that Sati also knew them. Either she learned yoga from her husband or she was enlightened because she was the daughter of such a great king as Daksa. The perfection of yoga is that one can give up one’s body or release oneself from the embodiment of material elements according to one’s desire. Yogis who have attained perfection are not subject to death by natural laws; such perfect yogis can leave the body whenever they desire. Generally the yogi first of all becomes mature in controlling the air passing within the body, thus bringing the soul to the top of the brain. Then when the body bursts into flames, the yogi can go anywhere he likes. This yoga system recognizes the soul, and thus it is distinct from the so-called yoga process for controlling the cells of the body, which has been discovered in the modern age. The real yoga process accepts the transmigration of the soul from one planet to another or one body to another; and it appears from this incident that Sati wanted to transfer her soul to another body or sphere.
Srimad Bhagavatam Canto 04, Chapter 04, Text 23
Srimad Bhagavatam Canto 04, Chapter 04, Text 25