Yeah it does it immediately after shifting into 4WD, however how long does it take to engage? It seems to also occur when I'm turning in 4WD, long after I've shifted into 4WD.

Per your profile you have a 1994? This could be a auto locking hub issue.
G/luck
Joel

Could also be the CV joints, check the boots and see if the are cut or split. If so then this is probably your problem.