Yeah, if you shift with the transmission in neutral, and don't go quickly enough from hi to low, the gears will start turning inside the transfer case, causing it to grind. If this happens, just turn the engine off, continue shifting into low, and then restart the engine.
What I normally do is put the tranny into neutral, come to a complete stop with my foot firmly on the brake, and then shift into park. Then I shift from high to low. Don't remove your foot from the brake while doing this. This prevents anything from moving inside the tranny or transfer case, and makes it really easy to shift.
Casey