You can shift into 4WD either way. If it is the first time I am shifting into 4WD, I usually stop first then shift into 4WD. Normally I'd be in drive when I do this. It is shift on the fly so it really doesn't matter. The slower you go when shifting for the first time, the happier your t-case will be, but technically you can shift into 4Hi while the truck is in drive and doing less than 25 mph. If I'm going into 4lo, I'll put the tranny into neutral then drop into 4lo. I don't think I've ever been in park and put the truck into 4hi or 4lo.

-Michael