The procedure is outlined in your user manual, so I suggest you refer to that for specifics on your year. I have a 2004 Unlimited, automatic and here's what I do:
(1) With the engine running, transmission in neutral, put the transfer case in Neutral (put the trans in gear and tap the gas to make sure)
(2) Turn the engine off and put the transmission in Park.
(3) Turn the key 1 click to unlock the steering wheel, but not turn on the vehicle.
Don't forget to let the parking break off!
Also, you need to wire up towing lights...