Mine does it too, and it hasn't blown up yet. Seriously, I wouldn't worry about. These 4.0l's are like tractor engines.... fuel slurping, emissions belching, noise making engines....but they sure are durable.
My owner's manual says the oil pressure should be approx. 60 psi at throttle, and 40 psi at warm idle. Honestly, I don't know of anyone's XJ that holds a consistent 40 at warm idle. Once warm, mine will drop to about 20-25 psi. On other boards, it seems most everyone elses does too. If your oil pressure gauge starts acting whacky (e.g. jumping around, pegging itself, etc.), it's probably the sending unit going bad. These units aren't the most accurate anyway, and I wouldn't totally rely on them (even when functioning properly) to always give me an accurate reading.