I bought my truck new and have the owners manual.
"Shifting between 2WD
high and 4WD
high can be done at a stop or any forward speed."
"Do not perform this operation if the rear wheels are slipping."
Shifting to/from 4WD
Low is to be done at a complete stop with the tranny in neutral (automatic) or the clutch depressed (manual).
I dare say that if the transfer case was ever shifted improperly it could be damaged and need to be rebuilt or replaced.
If you are not the original owner, the PO may have screwed it up.
2006 4.0 5 spd auto 4x4 Super Cab
BF Goodrich Commercial Traction T/A's
Royal Purple Throughout
Alpine Head Unit with some Infinity Noisy Stuff