It works like this..
When the hubs are set to "free" the front wheels can spin independently of the front axle, and when they are "locked" thry are connected to the axles. So if you have the hubs set to "free" and put the transfer case in 4wd, then the axle goes to work spinning up front (because its in 4wd) but its not connected to the wheels because the hubs are set to "free". For 4wd to work - the wheels need to be connected to the axle, by setting the hubs to "lock".
New trucks and suvs dont have unlockable hubs, they are permedently "locked" to simplify the system.
The benefit to your hubs that you can set to "free" is that you save on fuel mileage (technically) and the front axle does not turn as you drive, saving you on wear and tear in the long run. Free wheeling hubs are a good thing.
On the day or even week you expect snow or plan to go offroad, just set the hubs to lock - this way anytime you put the transfer case in 4wd it works. You can also be in 2wd with them locked. Locking them just connects them to the front driveline - it doesnt put the truck in 4wd.
Hope that makes sense.