I have had my truck since new (1999), and have used 4wd a dozen times or so. I use it infrequently enough to forget what Ford recommends for going from 2H to 4H.
What I have always done is to stop, in drive, pull lever back to 4H and wait a couple of seconds, then accelerate. Since the truck was new, I always get some noise as 4wd engages. Normal operation, I am told.
Tonight, we got some snow. I pulled into a road which has a steep grade and began to spin. Stopped truck completely, pulled lever back to 4H, heard relays click, then slowly accelerated. Back wheels began to spin, then clunk, bang, as she went into 4wd. (No other way to engage it, that I know of, but to slowly accelerate). Again, normal operation, I am told.
Sound normal? I don't see any other way to go. Makes me nervous, as I don't want to replace the driveline (or the truck, for that matter).
Probably more scary than actually hurting anything. Like, it sounds worse than it actually is, I think.
You have no other choice than to accelerate until she grabs, and you just can't tell exactly when it will.
Anyone else notice this on their truck?

 

it is actually better to shift into 4hi while the vehicle is moving as long as your under 50mph...you only need to stop for 4 low

 

if i engage my 4wd from a dead stop then accelerate it does the CLUNK bang also. i was told you have to be moving (i think slowly is best) then engage the 4wd, you can still feel it engage and then you can go. I think that is what it says in he manual but its been so long since ive read it i can't remember for sure. i hate engaging it from a dead stop because it just sounds so terrible.

 

But I will shift-on-the-fly from now on (from slow speed, of course).
Had an '88 Ranger, '84 F250, '91 F250, and all had manual hubs & transfer case. I am used to stopping, locking hubs, shifting to 4x4. Although the Ranger did have shift-on-the fly, I always stopped. Slight clunk with it, but it was manual transmission. This is my first automatic 4x4.

 

I have to shift into 4H sometimes to get up into my driveway when its frozen... I am stopped and in drive and it has never made any noise. I have had older 4x4's that did and never once had any sort of issue out of the driveline.

 

I try to avoid damaging anything in my vehicles drivetrain as much as possible because I still remember the cold January changing the clutch in the old '84 (just in time for a big snowstorm). No fun removing transfer cases. I've learned to avoid that kind of work.