4Wheel Issue 1998 F150
 

When I turn the dial to 4X4 it engages just fine. As I am driving it will slip out for a second and jump right back to 4wheel, making a loud bang in the transfercase.

What year and engine? It could be the shift motor or your shift colenoid. It's an automatic transfer case obviously, have u gotten under your truck and checked the shift motor out?

Well may be your engine baby problem i guess, Hope so not