What you basically have as a system is a drive flange on the end of your front axles. The axles are secured to the spindle through the splines in the flange. To release the axles for rotating when the tires do, you remove the drive flange and add the manual lockout. (I have pics in my webshots of the flange.)
To add, there should be an air pump above the front bumper, feeding air pressure to a sleeve in the differential housing. This engages the front differential.
What happens when you are in 2wd, the front tires rotate the speed of the vehicle* due to the drive flanges and the diff housing is free.. Once you pull the shifter (or push the dash button) to shift the t-case into 4wd hi, the case engages the front ds, the air pump pressurizes the sleeve (if the front tires and vehicle speed match), then you have 2 axle capability. Notice it's not exactly 4wd as the axles are open, and the tires with minimal friction, front axle and rear axle, get the torque/hp. If the front tires and vehicle speed do not match, the sleeve won't engage fully till there is. Due to tolerances, you could hear a 'pop' as it engages when there is a speed difference. This is not what you want to hear.
If you add the manual lockouts, it doesn't hurt anything if/when you leave them locked when in 2wd. Everything was designed to rotate constantly, anyways. Just note to yourself, that you can not shift on the fly when they are unlocked.
Couple good things of adding the manual lockouts: 1 - reduces the wear on the front axles, housing, etc., 2 - when you go to engage the axles to go wheeling, you get to overlook the vehicle and check other items (air pressure, tire conditions, lug nuts, lockout condition, etc).
*Notice it's not the speed of the driving tires. You can have greater tire speed than vehicle speed (spinning your tires).