A couple things come to mind. It could simply be that the shift linkage is out of adjustment.
Or, it could be that your engine, trans, and T-case mounts are all worn enough to allow the drive train to torque(twist) enough to pull the T-case out of lo when throttle is applied.
There is a chance that it's something internal that's worn, like a shift fork, or gear or chain. However, unless it's making noise, the linkage or mounts are more likely to be the cause.
To adjust the linkage,
1: Disconnect it at the T-case, and manually put the T-case into lo.
2: Move shift lever into lo position.
3: make adjustments to linkage so that it will reconnect with arm on T-case, and reconnect.
If adjusting the linkage doesn't fit it, take a look at all the mounts.
maroon 1987 Grand Wagoneer. stock for now...