Yes, they have been converted to 4wd many times. There have been a couple of articles outlining the steps in the the main stream 4wd mags over the years. Basically, the easiest thing to do would be to insert the transmission, transfer case and front axle from a 1972-1979 CJ.
This assumes you're talking about the later DJ5 and not the earlier DJ3. For the DJ3, use parts from a CJ3A, including the rear axle. In fact, with the DJ3, just put the DJ tub on a CJ3A frame and be done with it.
This assumes you're talking about the later DJ5 and not the earlier DJ3. For the DJ3, use parts from a CJ3A, including the rear axle. In fact, with the DJ3, just put the DJ tub on a CJ3A frame and be done with it.