Check these in order:
1 - Coolant: Check level, if you can't see any in the radiator, that's your starting point. Should be green (or whatever the original color is) and not smell "burnt."
2 - Look for puddles (of coolant) underneath the Jeep. If it leaves one, look for the source.
3 - Radiator leaks: Check for those, look for wet spots on the radiator. Also check the cap. And the rim at the top of the radiator.
4 - Hoses: Look for cracks and feel for soft spots (when it's cool).
5 - Water pump weep hole and gasket surface.
6 - If you hear a pulsing or thudding, it's probably the thermostat. I would replace the thermostat and hoses anyway, if they're old.
7 - Exhaust: Look for white smoke from the tailpipe. If it's there, it's probably the head gasket.
8 - Oil: If it's milky, or a light brown color, it's definitely the head gasket, quit driving it and replace the gasket.
I've had coolant leaks and issues in alot of vehicles. Just check everything thoroughly, and you should find the leak/problem.