Not to argue, but step 6 in the manual shown above just says "Shift manual transmission into gear...", it doesn't specify 1st gear.
If you have a manual, the general consensus is to shift into your highest gear (5th or 6th, depending on your transmission). For all intents and purposes it'll make no difference - any gear will prevent the transmission from rotating, forcing all of the movement to occur within the transfer case, which is what you want.
But should something go wrong and the transfer case become re-engaged, you'd rather be in 6th gear while towing at highway speeds, than 1st gear. Any resulting damage would be less severe. It's a very unlikely scenario, but since it makes no difference which gear you use, I always use 6th.
And I just returned from flat-towing my LJ for over 2500 miles.
2006 Black Unlimited 6-speed, Rubicon Express 5.5" Long Arm Kit