On my 06 Sport, if I change from 2Hi to 4Hi on the fly, the lights will flash for a minute, then the 4Hi light will stay lit.
You can change from 2Hi to 4hi and back on the fly, as long as you are below a certain speed, think 60 is the magic number.
To change to or from 4lo reguires you to be completely stopped, transmission in Neutral and the brake applied before changing to /from 4lo.
Also, going from 2hi to 2lo, you have to cycle through 4hi before continuing to 2hi.