How to fluently transition into an animation state?

I have a game object (body) which contains some child objects, (a leg and an arm). The body game object has an animator component on it.

Okay, let's say i create an idle animation state where the character simply stands still with his hands down. Then i create another animation state, where the character lifts his hand above his head. Now, i connect these two animation states via transition in the mecanim animator.

I start the game, and the character is now playing the idling animation. Good. I trigger the transition to the animation state, where he lifts his hand above his head. He fluently lifts his hand above his head. Good. Exactly the way i want it.

Ok, now let's say the idling animation state doesn't exist and i only have the animation state with the lifted hand. I make transition in the mecanim from Any state ---> Lifted hand. Now i run the game and trigger the transition. Instead of moving his hand fluently, the character's hand simply "snaps" instantly into the lifted position. (Or in other words into the beginning of the Lifted hand animation state) And i need the hand to transition fluently, like in the first case i described.

So how can i achieve the effect, where when i trigger an animation, and no matter in what position the had currently is, it will transition into the Lifted hand state fluently?

Thanks for any advice.