Try it and and get back to us...

No, don't do it. You're forcing a few dozen pounds of metal to go from a standstill to several hundred RPM in an instant, and it won't react well. I wouldn't do it over 10 MPH when the hubs are unlocked.
However, once the hubs are locked you can go back and forth from 2WD to 4-hi at any speed, provided you haven't unlocked the hubs again by reversing direction in 2WD in the interim. When the hubs are locked everything is spinning because the wheels are, there's just no connection between the front end and the engine via the transfer case.
Any questions/clarification can be found by looking through the forums, the operation of the 4WD system has been covered plenty of times already.

Brent

[This message has been edited by OffroadX (edited 06-11-2001).]