There are several ways to do that:
(1) You can use fast fourier transform (FFT)
(2) You can use short time fourier transform (STFT) to make it too
(3) The best way should be wavelet transform (WT). I will suggest discrete wavelet transform (DWT) which can decompose the signal into approximation and detail coefficients. You can refer paper " 2010 EEG signal classification using PCA, ICA, LDA and support vector machines".