Let me add to this since we don't know what trans you have, but it is likely a C6 based on your sig.
Here are some rules to live by
1) - Engage and disengage your hubs when you are in 2WD ONLY. Do not try to operate your locking hubs when you have shifted to 4WD HI or LO.
2) - Do not drive in 4WD HI or LO when you are on a surface that does not allow at least one tire to break traction.
3) - When shifting between 4WD HI and 4WD LO, you MUST be in PARK with no drive line binding. In other words, shift to neutral, apply the parking brake, release the service brake, make sure you don't roll, and put it in Park*.
*If you don't do this, you may be forced to shut off the engine to get it in or out of any 4WD position. The reason for this - Transfer case Neutral is between these two positions. As soon as you take it out of 4HI or 4LO, if the transmission is in gear, or possibly even neutral, the transfer case input shaft will start spinning while the transfer case is in neutral, and you'll hear a terrible gear grinding noise if you try to engage any transfer case position. If you try and put the trans in park at this point, more ugly grinding will result from the parking pawl beating itself senseless on a spinning output shaft.