Sometimes with 4x4's especially if you have been running in 4 Lo, you need to shift into reverse and backup a foot or so to take the pressure off the transfer case (and then I usually shift the transmission into N) to get it back into 4 Hi. Shifting from 4 Hi to 2 Hi should be a firm shove of the lever forward. If it is getting stuck there then you may have a problem.
Oh yeah, one more thing. Make sure your wheels are pointing straight ahead. That also takes strain off the transfer case that can hang it up.