with an auto trans while rolling put the trans in neutral shift into 4 high and wait till the 4wd light comes on.. then back in drive and off you go. putting the trans in neutral allows "play" in the gears to match and engage properly.
I guess, so....
I deliver pizza in the snow with a 2.5L 4-spd OD Tracker 4-door. When I am approaching an unplowed side street, I simplly let up on the accellerator then push the t-case lever forward to 4-high. Don't be turning, sliding or braking when doing this! Potential damage occurs in the transfer case, not necessarily in the transmission.
For absolute peace-of-mind, come to a complete stop then shift. You don't have to, but if worrying is your favorite pastime - that is the optimum solution.
For details, consult your owner's manual.