As there is no synchro in the transfer box the gears do have to line up. If you happen to have stopped with the teeth facing each other then it won't engage. Rolling forward or back a short distance will fix this. I have also noticed that allowing the lever to move slightly side to side helps. It's tempting to push it hard away from you (RHD) to keep it diff locked as you change ratios, don't do this, it doesn't help. Just allow it to feel its own path forward or back.