Trouble shifting from 4 wheel drive (4-Hi) to all wheel drive.

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Shifting from 4-high to AWD issue with my 2002 Mitsubishi Montero Sport 3.5L. It goes from 4-Low (all the way forward) To 4-Hi (middle) To AWD (all the way back) Yes, I put it in neutral before shifting and I let it sit for like 10 seconds to give it some time to engage. I've also tried doing it while in park. Anyway, while shifting from 4-Hi to AWD, then beginning to drive, it makes a grinding sound while going, as if it's not completely engaging/disengaging. So I have to shift it back into 4-Hi to make it sound normal. On a side note - I'm not quite sure while in 4-lo or 4-hi it's actually engaged because while driving in a tight Circle it doesn't "Buck" like four wheel drive normally does. There are NO engine lights (or other arning lights) indicating a problem. Any advice would be appreciated.