Most of the time you don't need to use the 4WD lock button and the system works automatically - it senses when the front wheels are slipping then brings in the rear axle.
The 4WD lock button is useful when starting off in very slippery conditions (especially uphill) or when you want to control a descent on a poor surface by using engine braking on all 4 wheels and where you want 4WD before anything slips. It also works well when the road is totally white or isn't a road but is a muddy track. However, you shouldn't use the lock switch on good going (eg visible tarmac) because the 2 axles will naturally want to turn at different speeds on bends and the lock button prevents this and the result is transmission wind-up as one axle fights the other.
Just remember that 4WD is all about traction and nothing much to do with braking or steering. Allow loads of room in front of you, steer as you would with 2WD and try to slow on the throttle & gears rather than the brakes.