Does the light come on the dash? it could be the 4x4 switch itself or the module behind the glove box. Not sure tho if your transfer case is locking in then it will be your hubs. you can get new ones with manual locking hubs and that will fix it if its just the hubs not locking. If you want to keep automatic locking hubs there are vacuum lines that run to them that lock them in which are probably messed up in someway.