The first thing is to figure out what is and isn't working. If the 4x4 and Low lights are coming on, it's very rare that the transfer case is not actually shifting into those gears. But it can happen. It's pretty common for the auto locking hubs to fail and need to be locked manually.

So... get the front wheels up off the ground with jack stands. Leave it in 2WD. Turn the hub lock back and forth three or four times, then put them in auto (counter clockwise). The front wheel and the front axle u-joint behind that wheel should turn independently of each other. This proves that your hubs are unlocked. Manually lock the hub (clockwise). Now the wheel and the corresponding u-joint should be locked together. The proves that your hub locks work and aren't broken. This would also be a good time to turn the front driveline. It should turn freely, proving that your transfer case is disengaged.

Now, with the engine running, turn the dash switch to 4WD. Check that the front drive line will not turn now. This proves that the transfer case has engaged. Check to see if the front hubs have automatically locked. Each wheel should be locked to the u-joint behind it.

When you've done these tests, let us know what didn't work right and we can help you fix it.