No the 4 wheel light should only be on when in 4X4. If you have the electronic shift transfer case switch operation is as follows.
2 HI - normal driving on dry surfaces.
4 HI - driving on slippery surfaces and under low traction conditions.
4 LO - Used on VERY loose surfaces and for better control.
4Hi can be switched in/out while in motion and operated up to the same speeds as 2 HI. BUT remember that even if you can go faster you still cannot STOP any better.
Also DO NOT use 4HI on any high traction surfaces (bare pavement, dry roads and such) The system will try to tear itself apart and you can easily damage the axles or transfer case.
4LO is activated by stopping the vehicle, Now shift into neutral or push in the clutch, Now select 4LO. Reverse this procedure to switch back to 2HI.
Don't try to drive over 15 mph while in 4LO, the engine can hit red line easily in 4LO.