Yep. the '93 Sidekick manual says that you must stop the vehicle completely and put the transmission into neutral before shifting from 4L to 4H. It further suggests the following:
"If your vehicle has an automatic transmission, it is recomended that you stop the engine when shifting the transfer lever between '4H' and '4L' . If you shift the transfer lever between '4H' and '4L' with the engine running, be sure to shift using a quick, continuous motion, without pausing in Neutral"
One would assume that this applies to shifting either direction - 4H to 4L and 4L to 4H.
I have recently performed a 4L to 4H shift at a complete stop with my foot on the brake and the transmission in Neutral while driving in snowy conditions. If the vehicle is moving while trying to make this shift, I get a grinding sound.
Hope that this helps!