Jeep Liberty 2002 Limited 4X4 issue

My jeep is having issues with 4 wheel drive. It seems to go into 4 wheel drive ok, although I'm not entirely sure. The RPM's run higher and the engine is noisier, but anyway, the point: When I switch it back to 2 wheel drive, it will not go! It takes quite a bit of driving with a terrible burning smell (the engine isn't over-heating) and changing the transmission from park to reverse as suggested in the manual before finally it will go back to 2 wheel. The last time I had it in 4 wheel and tried to go back to 2 wheel smoke came out of the engine and then a little driving, it was fine. Before that it wouldn't go back with out making a LOUD clunk. Now, besides a cracked radiator I'm having to replace this has been a great car, and one I'm still paying on! Any suggestion as to what this issue might be? It gets icey and wet here and its nice to have the 4 wheel but I'm not going to use it if it ruins my transmission. I cannot afford that fix! Thanks so much!