You need to understand what is happening as you try and engage the dif lock. It actually is very basic in terms of machinery design. When early cars had manual transmissions it was necessary to use a technique called double clutching to change gears without grinding. Today some 18 wheelers still use this technique. My point that I am taking too long to make is that you are trying to get two simple gears to mate. Until they line up they would then side into engagement with each other. The double clutching I was referring to was a way to get the gears to line up. Never vehicle now have synchro mesh incorporated into manual transmissions which takes care of getting the gears to mesh without grinding.
With the Dif lock, you need to put pressure on it before you get into a traction situation where it will be needed. Then, as one wheel begins to rotate faster than the other the opportunity for the dif lock gears to mesh will occur. You can try and accelererate this process by turning while keeping pressure on the dif lock. When you turn the rear wheels rotate at different speeds and can find an opportunity to mesh the dif lock gears. Never try to engage the dif lock when a wheel is spinning as you will break it. i.e. the gear teeth will be ripped off. On new tractors more patience is needed as everything is tight fitting but will losen up with time. If you have doubts about it working jack up one rear wheel and slowly turn the raised wheel as you try to engage the dif lock. You will feel the pedal for the dif lock suddenly drop as the gears engage.
Good luck.
Dave M7040