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Make sure all the fluid levels are okay, like transfer case and differentials.
Put it in 4wd at home and make sure it engages before you're somewhere where you really need it and find out it doesn't work :-O Make sure the 4wd light comes on and turns off when it's supposed to, if anything doesn't work it'll probably be that.
If the 4wd light doesn't come on, you won't be going anywhere in 4wd. Let us know what you find.[addsig]