Are you sure it was all the way in 4lo? Often times when shifting between 2wd and 4wd if you don't do it quick enough you'll get a little grinding. If you are in neutral when shifting, you won't hear it until you put it in gear. You may want to try putting it in 4lo at the house and see what happens. Make sure you push down on the shifter and pull it into 4lo as far as it will go.

The grinding noise you hear are the transfer case gears not lining up properly. It has nothing to do with the steering.

-Michael