Cold or warm, it shouldnt matter. The 231 and 242 transfer cases can be picky sometimes and like to be shifted a certain way. Assuming your handle is back 2wd, Your best bet is to get moving DEAD straight, at about 10mph with your foot off of the gas, Leave the transmission in drive and shift it into 4hi, give it a little bit of gas and let back off. Then move the shifter back down into 2wd and give it a little gas again. If the light does not go out right away, come to a complete stop and put the transmission in reverse, back up about 30 feet and see if it clicks out.
4.0 / AW4 / 242 / RE 5.5"
30 Front: Chromo Shafts/Joints/4.88's.
44 Rear: Aussie/Crown Vic Disks/4.88's