there is a bit of an unknown problem with super select, however with easy select it sounds like you might have windup, but on sand that would be hard to develop.
are you sure you are not on hard packed surfaces when you remove it from 4wd ? it is also best to try and disengage when you are going straight.
you will have windup when it feels like the handbrake is on when you try and drive. only real option to getting rid of it (other than being in soft surface) is to turn in the opposite direction to the windup (i.e. opposite to the last turn you did before you took it out of gear). some people try to drive over bumps etc to break traction on a wheel as well.
the shudder it a bit of an issue and you would not normally get that in 4wd on sand so you might have bigger issues.
This car is like a bad drug habit. It is taking all my money and time, my family are concerned, but new mods just feel sooooooo good.