Yes you do. Any time you go through an extra set of gears you get unecessary friction (which I believe is what happens inside the transfer case in 4Lo). And two gears of different ratio will also create more friction than two gears of equal ratio.

This is why they geared the MarkVIII to run top speed in 3rd (direct drive) on the salt flats. The 3rd in its transmission goes through no gear, and therefore less hp turned to friction.