Not sure what would be involved in a 4wd conversion (biggest issue would be electronics in my opinion), but if you choose to do so you may want to look into if it's possible to do a Titan swap (popular with 2nd gen Xterra's) to get things beefed up and upgraded at the same time.
As far as suspension, I'd recommend going with a small spacer lift from sfcreations.com or getting an Old Man Emu kit. 4x4parts.com may have more options too. Since you're only 2wd with limited suspension travel, I'd highly recommend a CB or other radio for communication with your buddies on the trail (since you NEVER want to go alone), solid tow points front and rear, and then look into other things. Good offroad tires will make a massive difference too. Don't think there's a rear bumper or fender guard options commercially available, but if you like tube it shouldn't be terribly expensive to get a local 4x4 fabrication shop to knock them out for you. There may be others, but I think ARB is the only choice for a front bumper, so you may want to consider tube for that too, and sticking a winch on it.
How much into wheeling do you intend to get? If you think this is something you'll really like and will want to take it to the next level without doing big fabrications, I'm sorry to say this but I'd suggest looking for at least a 4x4 R51, if not something with a solid axle out back. You'd be surprised where you can go with a smart line and good tires though.
Welcome to NPORA!