I had the same problems in and learned a lot about how the 4wd works on a ranger...
When switching to and from 4wd hi-2wd, nothing really is required except maybe throwing it to neutral (in a manual tranny), when going from 4wd hi to 4wd lo, you must be in nuetral with the brake & clutch pedal pushed and going less than 2mph, and the same coming out of it. when switching to 4wd hi/lo there is a vacuum pulse that fully depresses a diaphram oh both hubs and releases the pulse engaging the hub. when switching back to 2wd there is a shorter pulse that partially depresses the diaphram and releases the hub. Just like a retractable pen! (it's more techie than that but you get it)
Now then I had a vacuum leak and I found that out because I jacked up the front end while in 2wd, and with the parking brake set (which only affects the rear wheels in case you didn't know) I was able to spin the front drive shaft and it in turn spun the front tires and when I put it in 4wd I could not spin it, which means the transfer case was working.
I later capped the lines going to the PVH and did the manual hub conversion. I leave them locked in most the time causing about 35-45 mile per tank of gas loss..(around town) and recently replaced my front pinion seal but it started leaking after 20K miles of hub conversion, and 126K on the odometer. other than that no side effects.
Hope this helps