A class method might be needed if you have many of those. Otherwise:
Private Sub TextBox1_KeyUp(ByVal KeyCode As MSForms.ReturnInteger, ByVal Shift As Integer) If vbTab = Chr(KeyCode) Then TextBox2.Activate
End Sub
Private Sub TextBox2_KeyUp(ByVal KeyCode As MSForms.ReturnInteger, ByVal Shift As Integer)
If vbTab = Chr(KeyCode) Then TextBox3.Activate
End Sub
Private Sub TextBox3_KeyUp(ByVal KeyCode As MSForms.ReturnInteger, ByVal Shift As Integer)
If vbTab = Chr(KeyCode) Then TextBox1.Activate
End Sub
Private Sub TextBox1_LostFocus()
TextBox1.Value = Format(TextBox1.Value, "(000)000-0000")
End Sub
Private Sub TextBox2_LostFocus()
TextBox2.Value = Format(TextBox2.Value, "(000)000-0000")
End Sub
Private Sub TextBox3_LostFocus()
TextBox3.Value = Format(TextBox3.Value, "(000)000-0000")
End Sub