Look for the thread with Links to Downloadable XJ Parts Catalogs. You can go thru the parts catalog and get an idea what has to be changed out to complete the job.
The only practical way to do the job is too find a Junkyard Donor Car that you can pull all the parts from. Pick-a-Part Junkyards are more and more rare today, with most Junkyards becoming part of a network, that only supplies the pulled parts over the counter.
To purchase the parts individually would easily exceed the cost of just getting another vehicle equipped the way you want it.
I'm a Noob to XJ's and 4X4, but pretty knowledgeable on other cars, mostly muscle cars, cheap sporty FWD and Mini-vans (because thats what I've owned before), so take this with a grain of salt. BUT, I would imagine at the least you would need:
*Front Axle, same ratio and configuration as the rear axle.
*Transmission, Transfer Case & Mounts (even if the same transmission comes with the 4X2 and 4X4 configuration, the output shaft is different, so a 4X4 version of the trans must be swapped in).
*Drive Shafts, Front and Rear; theres usually a different driveshaft for the transfer take output.
*The Lever to activate the Transfer Case and all its related hardware.
*Perhaps a new ECM, they may be the same for 4X2 and 4X4, wouldn't be surprised if they are different.
*The 4X4 monitoring Panel and any wiring, ecm and hardware that goes with that.
What it comes down too; you'll probaby have to replace the entire drivetrain with the exception Engine, Rear Axle and maybe the wire harness, plus add a lot of additional hardware.