It is a massive job, and not really worth the effort or cost - To get the power to the front wheels you'd need a heavily modified gearbox for starters and it would ruin the lovely handling of your car.
If I were you i'd stick with power mods and go the supercharger or turbocharger route.
Having driven offroad in a variaty of four wheel drive vehicles for pleasure or competition I will say save your money and buy a 4X4 to play with. To start they handle so differently you will be dissapointed. The Miata is a thing of beauty when negotiating a four wheel drift in stock trim that would impossable to to acomplish in a four wheel drive machine.
It's "apples & oranges", Jim