So I did what Joe suggested, I put in a relay. This is the procedure I used on a 2002. It should work on up to a 2005. These are the steps I followed. I am not saying this is the best and this is just a guide. Feel free to ask me questions, but please do not hold me liable. Give your self about 2-3 hours to be safe.
1. Start by removing the dash piece around the radio, center vents and air control. I applied a flathead screwdriver to the bottom of the plastic dash piece and pried up. This might leave a small mark in the dash piece below it, where the shaft of the screwdriver rests. Be careful. The dash should pop out. If you can, pull up and out on the piece. It should gradeually start poping off. There are about six pops that should happen.
2. Mount the switch. I wanted mine in a easy-to-reach spot and visible. Since I have an XLS, the spot in the pics works great. It is also easy to replace the small dash piece if needed. I also used a lighted switch, so I needed power for the light. I used the second wire from the right on the wiring harness to the 4x4 option buttons.
4. Run the wiring. I grounded my switch out to the radio. The red wire that is spliced into the 4x4 harness, I ran to the power input on the switch. The acc. or load wire on the switch, I ran behind the glove compartment. You can make the glove comp. swing all the way down by squeezing the catches inward. After it is all wired, check the switch. Turn the key to the on position and check the switch. Should light up. Carefully replace the dash piece. Make sure not to pinch any wires.
5. Find the Wire. If you remove the step plate, there is a wire channel underneath. Remove the top cover of the wire channel; it is black and made of plastic. This will now show 2 bundles of wires; one large and one small. You want the small bundle. The plain brown wire is the one of interest. You will also want to pull off the lower plastic piece, on the far right-hand side, under the glove comp.
6. Install relay and wires. Cut the brown wire. Strip the ends and crimp or solder on a wire to both sides of the brown wire. There should be three bolts where you pulled off the plastic under the glove comp. One should be bare. This is where I mounted my relay and grounded out my relay. If you do not have a mount, you can it tuck back in the body. I used a 12V/30A relay. In this photo,
Yellow = Ground
Green = Switch
Black = Input from brown wire
White = Output to Brown Wire
7. After it is all hooked up, check it out. Start the vehicle. if the light is on on the switch, all 4x4 options should work. If the light is off, it should be 2x4, and the 4x4 light on the gauge panel should not flash.
8. Put the plastic back on. Take for a test drive. Should work.
I have pics of all the steps. I can send them to you in the order of instalation. Or, if you can post them for me, that would be great.
Cost: about $20-$25
Time: if all goes well, 2 hours.
Result: Burnin Rubber!
Have Fun, Jared G.
Just look for a single lonely (very lonely) wire going into the transfer case. Look near the back side of the transfer case -- around the rear output flage where the rear driveshaft connects. This wire is probably almost 1/4" in diameter. That is the so called "brown wire" and who knows, maybe it will be brown on the third gen too 
:
