I would have to agree that its not going to help enough to make it even remotely worth wild. Just unlinking the transfer case is not going to reduce the drag/friction you get from the rest of the assembly. That is what is decreasing you MPG.
You would have to completly remove the entire front axle assembly to eliminate all the points of friction created and we know that is not a real option.
I think you would gain just as much MPG by watching your driving style. Keep is slow and steady. Dont speed. The average vehicle MPG peaks around 60-65 mph, going any faster just reduces MPG.
Clean out any extra weight in your vehicle. There is no reason to carry around that 50 lbs set of golf clubs for months at a time. This goes for fuel as well, but some may disagree. Keep your tank at 1/2 full. No need to lug around 50-60 pounds of fuel you dont need when just driving around town.
I know with the rising price of gas we all want to save money, but I think the effort involved here really outweigh any gains you will get.
Most of these tips and more can be found here: http://www.fueleconomy.gov/feg/drivehabits.shtml