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This may sound silly but if you have the auto locking hubs can you still put it into 2hi and have the hubs stay locked without putting it into reverse? And how would I know if the hubs are still locked? Does it feel different or is it just that the light stays on?
If you've started driving in 4(hi/lo) with auto locking hubs, and you shift to 2wd, the hubs will remain locked until you've reversed direction.

There's really no indication that your hubs are locked. You don't feel anything, though gas mileage will be a bit worse. There is no indicator that the hubs are locked.