Re: u-joint
Without more info (year/make/model) about your drive, it'll be hard to get a good answer. My guess is that it's not your U-joint, as that's spinning any time the engine is running. The "transmission" is typically in the lower unit of your outdrive, and would be the first place I look for noises when putting it in gear.
Disclaimer...I'm new to boat maintenance/repair, and my limited knowledge is currently limited to Mercruiser Alpha 1 Gen 2 I/O's