I converted my MJ several years ago... here's the list of parts and my recommendations.
Front axle with same ratio as your rear ($150-300)
Front driveshaft ($50-100)
Transmission and transfer case ($250-400trans $300-400 tcase)
Rear driveshaft ($50-100)
4WD Shift handle ($20-40)
4WD Shift linkage (probably included with handle)
Shift linkage pivot bolted to transmission tunnel (with bolts)
You'd probably be cheaper finding a totalled XJ to pull your parts from (that's what I did) but if you want to piece it together, those are some rough estimates of prices (on the low side)
http://www.car-part.com is your friend.
I recommend just buying a tranny/tcase complete instead of taking yours apart to make it 4wd (you'd need the main shaft and rear tailshaft housing and the time/knowledge to completely tear down your tranny)
Front axle is a direct bolt in, pick it up and swap as early as you want.
Replace your rear main while you have the tranny out
I also recommend getting a non-disco axle unless you're buying a whole rig, and then I still suggest it... :laugh:
You will have to pull the carpet and drill 4 holes for the linkage, they're already dimpled so it's easy, but still a PITA since the seats and console have to come out.
PM me if you have any specific questions that I didn't cover in my novel... :yap:
Later,
Joe