New 01 XJ owner that is also new to 4WD. Took the Jeep off road today and was slipping out of 4L and then had trouble engaging into any other gears. I don't know what I should be looking for to see what's causing this

 

Your t-case might need a little adjustment..

Try this
VVVVV

 

Or your method of shifting may be wrong.

Or your motor mounts and/or trans mount may be sot.

Here's how the factory suggests you shift the transfer case and I've been doing this since these things were new and I worked at the dealership. Quoted from the owner's manual. The suggestions in CAPS are mine.

"To engage, shift the transfer case lever from 2H to 4H while the vehicle is moving at any legal speed". I LET OFF THE GAS, THROW THE LEVER, TAP THE GAS AND LET OFF.

4L position: " To engage, slow the vehicle to 2-3 MPH , shift the transmission to Neutral, then shift the transfer lever to the right and pull firmly rearward to 4L".

TO SHIFT OUT OF 4L, SHIFT THE TRANSMISSION INTO NEUTRAL WITH THE VEHICLE STOPPED, SHIFT THE TRANSFER CASE LEVER TO 2H, THEN THE TRANS TO D IF YOU HAVE AN AUTOMATIC, OR INTO FIRST GEAR WITH A MANUAL, AND CONTINUE ON.

Revised 11/20/2014