before I need 4wd, I throw it in neutral and coast to a stop. lock the hubs, and then rolling at a slow speed, lightly blip the throttle as I pull the T case into 4HI (if it doesn't just slip in). put it in 4low when you are at a complete stop, or rollin reeeal slow. just reverse all that to get it back to 2wd. The general idea being to keep any tension off of the driveline while you're engaging/disengaging gears.
with an automatic like ours, I'll use 4 low whenever I'm just creepy crawlin around, or feel like getting the front wheels off the ground.
even if you have the power in 4hi, it'll build less heat in the trans if you use low.
If you have the original J shift, toss that POS and either twin stick it, or get an "updated version" from J.Duff. I got the Duff version and it's much much better than the old one.