I personally don't like to engage the 4X4 while moving. The front drive shaft and axle aren't spinning when it's in 2 wheel, at least not a full speed, and then you suddenly "snap" it into motion. It just doesn't seem to be a good idea. I personally stop, get out and manually engage the hubs, get back in and place it in 4X4, then pull forward slowly for about 10 to 15 feet to ensure it's locked in before I get on it. If you have the auto hubs, you should be able to hear a faint "click" noise from them when they actually engage fully. Although you probably won't hear it over the engine.
I totally agree.....like I said...it can be a learning experience...certainly better ifn one learns from forums like this than to have to experience busted metal from doing things the wrong way. I switched my hubs to Warn manual..a:cost and b: because it should be easier on the drivetrain if one has an inexperienced driver...should reduce the downtime.