It actually does not matter when you lock the hubs, in relationship to actually putting it into 4WD. Of course, you won't have 4WD if the hubs are not locked, no matter what the transfer case is doing.
You have to put it into 4Hi before you can put it into 4Lo. With the original auto-locking hubs that came on your Bronco, you could engage 4Hi at something up to 30mph. The important thing was to make sure that you stopped and went at least 10ft in reverse once you were out of 4WD to disengage the hubs. Otherwise those auto locking hubs would fry. I have a '93 that now has Warn manual locking hubs. I have found that sometimes they don't want to disengage even after I've unlocked them, so I try to go in reverse a little once I'm done with 4WD.
To engage 4Hi, you can be in Park, Drive, Neutral, or Reverse. Same for getting out of 4Hi. To engage 4Lo from 4Hi, you have to be in Neutral AND stopped. If it does not want to go into 4Lo, then drive a few feet forward or reverse, put it into Neutral, and try again. Getting out of 4Lo is just the reverse process.
Step by Step:
1. Manually lock the hubs.
2. Engage 4Hi in whatever transmission mode you want.
3. Put vehicle in Neutral. Engage 4Lo. If it won't go easily, move forward or reverse a few feet. Try again.
4. Have fun and don't crash.
5. Put vehicle in Neutral. Disengage 4Lo.
6. Disengage 4Hi.
7. Unlock hubs.
8. Drive in reverse a few feet (not mandatory).
Hope this helps.
Husmann