You also may find that you will need to select nuetral to put it from 4h to 4l. As a rule I always stop when changing the transfer gears. Just another thing that can distract you whilst driving.

You should have auto-locking hubs, the locked position you speak of is where you can manually lock the hubs with a tyre iron. I can't remember why but it is better to manually lock the hubs even if they are auto hubs, something to do with reversing and them being stronger in this position, but don't quote me.