4x4 problem

Hi , I'll get right to it. I have a 99 rodeo 3.2 L V6 with 98k miles on it. I'm having problems when I'm running it in 4weel drive. At about 40 mph it will grind a bit and kick it into nuetral. I checked the fluids in the tranny, transfer-case, and front deferential. All seems fine. Checked tires and tire presure and there ok. The truck seems to run fine in 2 wheel drive. I never had this problem last winter.
Any advise?? What else can I check before taking it in to a specialist?
One more thing do any of you recomend me driving it in 2 wheel drive or will this cause more damege if it is something internall?
Thanks from Michigan. GO LIONS!!!!!!!

Also make sure you arent using 4wd on dry pavement, or even if its just wet. Only use it in low traction situations like snow, dirt, mud.

Ok the problem is actually mechanicall. Not an easy fix. The transfercase needs to be rebuilt. Not cheap, but for those that don't know you can use a transfercase from an 98 till an 01 if you can find one.