You want the transmission in 4th and the transfer case in neutral.
The output shaft of the transfer case spins the pump and so lubricates the transfer case bearings & gears.
The transmission in 4th prevents the transfer case input from even turning the transmission output shaft slowly (The viscosity of the oil would natural tend to turn it, 2 hours of slow turning without oil wouldn't be good for the transmission bearings. Tranmission oil is only thrown over bearings when the input and therefore the counter shaft are spinning. 4th gear is best - on the oft chance the transfer case slips into gear it turns the engine no faster than it might spin when driving).
U-haul trailers have surge brakes with no lock out, so you they are very difficult to back up i.e. not recommended (The F250 with 7.5 could force the issue with just a BII loaded).
I don't lock the steering wheel as I don't like all the force on the little pin in the steering column - you can break it reefing on the wheel, so full force of truck.... That said, moving the steering back and forth without engine running with force oil out of the box (fills the pump). With post '98s with all the oil in the rack, it will overflow the pump. But it doesn't hurt anything other than getting it oily. When you start the engine at your destination, turn to full lock a couple times and oil will return to the box.
Dolly puts a lot of weight on the tongue; there is no way to set up load distribution hitch, so tow vehicle will be light on front tires (SuperCab Ranger - minus engine was to the point of being sketchy behind a RC Ranger - I just needed to get the SC Ranger to point where I could get the full size to connect, I wouldn't have wanted to travel any distance. It took a jack to lift the hitch off the Ranger).
Anymore questions?