The manual that came with your truck is pretty good about expalining. You just want to be careful because you can mess something up if done incorrectly and according to the manual this is not covered by warranty.
So if you are in 4X4 hi you can switch to 4x4 lock in drive gear. YOu don't want to drive on assphalt roads a long time in 4X4 hi or extended times over 30 MPH. After 70 MPH it just disconnects automatically. Also, when you go from 4X4 hi lock to regular non lock it may take a little bit to completely dissengage (even though the light says you are normal).
4x4 low you should be in neural or rolling about 2 MPH. Make sure the lights stop flashing before you put it in drive. Put in neutral to go back to hi. Also, the far right button can be turned on /off automatically. This is only on some H3's the Adventure package.
When you press this button the stability control is turned off automatically, I think this option is only on the auto transmission.
The limited slip button (farthest right) isn't really for 4x4 but can be used for snow/ice or sand. When you are spinning your tires when on it will keep from spinning and you loosing control, if off you can spin your tires. Kind off like a race car does, but of course you are not a race car.
Like I said, check out the manual and get used to them away from other traffic. Just remember to watch the lights and don't put in drive until they stop blinking.
Also, the funny sounds you hear are normal. Little gears moving around, in 4 low it will real grind even at slow speeds. Never go fast in 4 low about 15 MPH tops. I think it dissengages automatically at 22.
Most of what I have written is in regards to automatic transmission so someone with a manual transmission may have more details.
I know in a manual transmission you have to have the clutch all the way to the floor to perform some changes.
Have fun!