94's and 95's came with 47RH auto's, which are hydraulically controlled for the most part. Using a 47RE, would require either a new controller for a 96 - later vehicle that used the 47RE, or a custom controller.
There are a few other concerns as well. I swapped from a 47RH to a 5-speed in my 95 and haven't regretted that for a second. You will need a new Transfer case, as the 5-speed output shaft is larger in diameter than the automatic. Likewise, you will also need a new female slip yoke for your rear driveshaft as the output shaft used on the automatic t-cases is smaller. You will have to shorten and lengthen your rear and front driveshafts respectively (automatic trans is longer). You will also need the steering column linkage, and possibly a new ignition switch for the auto shifter. A trans cooler with its related plumbing is also needed.
Unless you've really had it with the manual, I'd just keep it.
Tim