Short distances on dry pavement aren't too bad, but prolonged use will cause the transmission and transfer case to bind up, possibly damaging them or the U-joints. It's also extremely hard to get out of 4wd after driving on dry pavement. It helps if you back up a ways to relieve the stress on the driveline. Not sure about Jeeps, but on my old Toy 4x4, the front wheels turned 3% faster than the rear to help the rig track properly on slick surfaces, which is why they tend to bind up when they have good traction.
Though I'm not familiar with your year of Jeep, it should be pretty much the same as mine to get into 4wd. Yours may have manually locking hubs, though. If that's the case, turn the hubs to "lock", then pull back the 4wd shifter to either 4-hi or 4-lo, whichever you want to be in.
Welcome to Jeepz!! Glad to have you aboard. We've got a lot of very smart Jeepers here that can help you with pretty much any question you might have, so pull up a chair and stick around a while!!