read the manual, with the automatic you need to be moving, 2-3mph as you pull from 4HI thru N into 4LO, without pausing in N.... and same 4LO to 4HI.
From the TJ Operating Manual
4H to 4L or 4L to 4H
With the vehicle rolling at 2 to 3 mph (3 to 5 km/h), shift an automatic transmission to N (Neutral) or depress the clutch pedal on a manual transmission. While the vehicle
is coasting at 2 to 3 mph (3 to 5 km/h), shift the transfer case lever firmly to the desired position. Do not pause in transfer case N (Neutral).
NOTE: Pausing in transfer case N (Neutral) in vehicles equipped with an automatic transmission may require shutting the engine OFF to avoid gear clash while completing the shift. If difficulty occurs, shift the auto- matic transmission to N (Neutral), hold foot on brake, and turn the engine OFF. Make shift to desired mode.
NOTE: Shifting into or out of 4L is possible with the vehicle completely stopped, however, difficulty may oc- cur due to the mating teeth not being properly aligned. Several attempts may be required for clutch teeth align- ment and shift completion to occur. The preferred method is with the vehicle rolling at 2 to 3 mph (3 to 5 km/h). Avoid attempting to engage or disengage 4L with the vehicle moving faster than 2 to 3 mph (3 to 5 km/h).
It takes some practice plus getting used to the sound of a few gears clashing, as the gears mate.