It'll probably be eaiser and cheaper to sell it, and purchase a 4-WD ZJ. Just my $0.02, though it can, and has been done.
You'd need to get a front axle, probably have to regear it, transfer case, either an adapter to the transmission or a new transmission, driveshafts..ect,ect
I started doing this on my XJ, but dediced to sell instead. I got everything I needed for less than $200. Just keep your eyes open and you'll find a deal.
You'll need front axle, front DS, trans and transfercase, rear DS, crossmember, shifter for TC, sensors and all related stuff like that.
You can go as far as getting the sensors and bulbs for the instrument pannel so it lights up properly when in 4x4, but its up to you...
Front/rear driveshafts $50, transmission $100, transfercase $130, crossmember $10, front axle $130(be sure its the same gear ratio).
That's the prices at my local pick and pull, up to you, but you'd probably be better off trading your zj for a 4x4 zj or find one that has problems for cheap to use for parts (I paid $400 for the zj in my profile pic when i picked it up)
And keep in mind, you must use parts off alike models, if yours is OBD I, use ODB I parts, same for OBD II, they are different with the exception of the front axle. Same for the v8 and I6, you can only use parts off of the same model.