Leaving Your Vehicle With The Engine Running - GMC 2003 Yukon Owner's Manual

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Move the lever up as far as it will go.
3. Be sure the transfer case is in a drive gear – not in
NEUTRAL (N).
4. Turn the ignition key to LOCK.
5. Remove the key and take it with you. If you can
leave your vehicle with the ignition key in your
hand, your vehicle is in PARK (P).
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Leaving Your Vehicle With the Engine
Running
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CAUTION:
It can be dangerous to leave your vehicle with
the engine running. Your vehicle could move
suddenly if the shift lever is not fully in
PARK (P) with the parking brake firmly set.
If you have four-wheel drive and your transfer
case is in NEUTRAL, your vehicle will be free
to roll, even if your shift lever is in PARK (P).
So be sure the transfer case is in a drive
gear – not in NEUTRAL.
And, if you leave the vehicle with the engine
running, it could overheat and even catch fire.
You or others could be injured. Don't leave
your vehicle with the engine running unless
you have to.