When I first got my 6 I thought it didn't work either. Once in awhile it would come on, but most of the time it wouldn't. I'd hear the vacuum, but no diff lock light. I read around on xt6.net and found that I might need to have the car moving for the light to come on. I tried it and it works everytime now...after driving about 50 feet or so in a straight line.
Gary, do you hear the vacuum sound like Gravityman was descring?
Gravityman, it sounds like yours is probably working. Try pushing the button while the car is moving and hopefully that'll solve your problem Hopefully it's something as simple as that.
--Bob