Yes, it's been covered before...
The hubs don't disengage unless you back up (technically, drive in the opposite direction from when you last had 4x4 selected).
Anyway, if you don't unlock you're only causing the axles and front driveshaft to turn. No big deal. It's a small hit on your gas mileage, and puts wear on the parts, but if you only do it now and then it's OK.

You'll be OK leaving it in 4Hi when driving on surfaces where it's slick then grippy, just be sure to throw it in 2Hi when taking anything tighter than a mild curve on a grippy surface, that's where you can run into binding quickly.

Brent