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I have a 1999 Ford F-350 CrewCab, 4x4, diesel. My locking hubs were in "Auto". I was out fishing when I got stuck in some sand. I kept putting my dash switch into 4 low and 4 high and my rear wheels kept spinning with nothing up front? I ended up locking my hubs in manually and pulled right out. That doesn't seem right and there is nothing in my owners manual helping me out.
powerstroker250 has the right idea in all this. There was even a recall on this for the Excursion. My guess is that it applies to F-250 and F-350 as well, but that Vacuum pump and maybe the leak that entails, is more than likely your problem.
Also, it takes a little time for the hubs to lock, and they can unlock from bumps and such. Read this on a service bulletin. On my 01, the esof hardly worked, if ever. If I wanted to be sure I was in 4 x 4, I manually locked the hubs.
Check the axle seals on either side of the steering knuckle. Not sure if this has to do with the vacuum part of the locking hubs, but these seals are not right on my truck. I looked at another truck and same thing, seals aren't in there.
My WARN hubs are in the mail. I wouldn't have gone aftermarket, but the stock hubs won't unlock anymore @ 46,000 miles.
I brought my truck into the dealer today (Thank God) because the left front also started to squeal. They found the left front bearing worn and a bad hub (causing the leak). I guess I should let everyone know that this is the second bearing I've lost (1 on the right side within the last 5k mi.). My son was lucky. He was running down the highway when it let go causing the knuckle to break! He's lucky the truck didn't roll! I'm finding out (from the local dealership) that these bearing failures are very common. Kind of scary. Thanks all!