To switch to 4Lo, you have to stop, put the transmission in neutral, then switch. You can try the same for going from 2Hi to 4Hi if it won't shift on the fly.
You can drive in 4Lo on pavement. The center differential is still unlocked, so you can turn normally, but the engine will rev higher because of lower gearing, and there will be more engine braking. You can actually get up to about 50-60mph if you want, but you probably won't want to.
You can also lock the center differential on pavement, but I strongly prefer to only do that if I'm going in a straight line. I don't like the drivetrain binding up. People with less sophisticated transfer cases (most 5th gens, for example) will tell you it's not a problem, but I don't like it.