What year and type of jeep is this, I forget. will go through other post and try to see. auto, or stick.
Automatic_I think is vac operated, and shift in and out of 4x4 in neutral. (so I have read) check all your vac lines going to your front axle.
stick_ you should be able to shift into 4h and 2h while moving, 4L on the other hand should be done in neutral and taken out in neutral or reverse. in reverse, back up some and as you push the clutch in, shift. On paved roads you will get chirping from your tires when turning, chirping from the back could indicate a locker of some type, which would be better than an open diff. You should not drive it on asphalt or concrete (hard surface roads) in 4x4, it puts the drivetrain in a bind and can snap ujoints or even worse front axle shafts. In 4x4 your rear is pushing the front and the front is pulling so in a tight turn the rear is pushing forward as the front is trying to pull another direction and something has to slip, usually your tires slip and chirp, other times SNAP!!!
ok I seen its a xj so probably automatic. only thing I can think of is check you vac lines for leaks cracks and linkage.