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
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2007 Chevy Cobalt LS 4dr, auto
2008 Honda Odyssey LX chick magnet
Gone but not forgotten : 2001 Ford Windstar LX, 2005 Trailblazer LS 4x4, 2002 Isuzu Rodeo LS 4x4 & and many more.