I know they say you can do it but I remember the Ford Expedition having many problems associated the on the fly 4 wheel drive. Like I said old school is still best bet to protect your transfer case. Backing up allows the gears to engage and disengage. I know on our shop trucks (all 7.3 power strokes) we have turn in locks up front and we have to back up when engaging or disengaging.
i have never once had a problem with engaging 4 hi while driving on the fly
4 lo, i always stop and put it in neutral before chainging it
and ive had a 96 hoe and i'm currenty in an 03