Would you mind filling in your profile so we can see what we are working with? What size tires, what gear ratio, suspension, etc?
Did you get the transmission with the engine? Is it the original transmission for the YJ motor (IIRC, that would be the TF904)? Are you using the PCM / TCM (if the YJ used one, can't remember if it did or not) that came with the YJ engine?
For starters, check back over your work, cross reference with the 95 YJ FSM and make sure you connected everything properly. If you don't have one go to www.jeepslimited.com
, register, and then go to the downloads link and download the free FSM for the '95 YJ.
It may be possible that there is something wrong internally with the transmission, but I know little about auto trannys so I can't comment much on that.