When I put my jimmy in 4wd, lo or high, I can hear it engage but as I try to drive the wheels spin as if im still in 2hi?? Im driving in 2-3 inches of snow. Help??

Even 4wd slips on ice. The fact that all four wheels are turning doesn't mean they can't all slip under the right conditions. You should notice a need for increased gas pedal pressure to move at certain speed in 4 WD. If not the front hubs are not engaging. Maybe electrical problem. Remember 4 wheels adds twice the torgue required on engine and trans.