[fredjacksonsan]

First thing is to make sure your tires are the same brand/size/inflation. Even a small difference in size can cause the 4wd system to bind and cause some of the issues you mentioned.

The owner's manual will tell you that sometimes "untorquing the system twice is required to disengage 4wd" or something similar. I've used the technique of putting the transmission in "2", and adding gas then letting off a couple of times until hearing a clunk, then it's back in 2wd.

My 04 makes a bit of a rumble on the road in full time 4wd also, apparently it's normal.

Shaking in the steering wheel could be that the tires need to be balanced. Even if they were balanced when new, they can need rebalancing after a time. I have 40k on my tires, just had them balanced a couple of months ago...big difference.