Your tyres will make a bit of difference but try the below:
-shift straight through from 2wd to 4wd full-time in a swift, firm motion.
-do it in a straight line at less than 50mph
-blip the throttle just after the change (sometimes you'll hear the clunk)
Changing it at slower speeds, like on the driveway, try going in reverse for a few metres then forward again. Again, you might hear the clunk.
It shouldn't be driven in part-time 4wd (locked) on dry tarmac but having it stuck in for a few metres each time you shift won't immediately kill it. The more often you get it to shift, the better it should get.