i wanna say it's a vacum problem. either there is a vacum leak and they are not engaging the hub or the hubs are bad. please wait for others to chim in. i think it's a vacum problem but i forget what year they went to live axel in the front.
if it turns out to be the hubs, man up and get the manual locking ones from warn or whoever else makes them.
Go with the manual like morris says. You will never have an issue with them. Just a pain sometimes to lock them in instead of on the fly like the vacuum ones. Much more reliable then the crappy vacuum one's from Ford, less expensive too.
Yep its most likely the Vacuum hubs not locking in. Its a common problem during the 98-00 years. Get the AVM hubs from Rugged Ridge very reliable, I've got them on mine. You can switch it to 4wd on the fly you just have to make sure the hubs are locked in.