You have to make sure the U-joints are 'in phase'. What does this mean? It means that they should be in exactly the same position at both ends of the shaft. Here is a pic that shows (sort of) how the angles need to compliment each other to allow synchronized movement at the front and rear of the shaft. I know, I know... this is a single shaft without splines, but I couldn't find another pic righ away. The idea is the same.
If a splined shaft gets pulled apart, it is important that it go back together so that the u-joints line up like the pic. The dots on the splined ends make it easy.
Now this is for a stock Zook shaft, for those folks that have upgraded to CV shafts it is a whole different set of rules.
...and no. You don't have to mark the diff or t-case to make sure the yoke gets bolted on exactly the way it came off. This is a 4wd vehicle with a transfer case... the front and rear shafts are never going to be (or need to be) in 'synch' with each other. Once the t-case gear lever is shifted, it would change the rate and there goes any synchronization.
Just keep the u-joints in phase and you will be good.