I don't know if I've ever stopped to shift into 4wd. 500 or the 700.
Like others have said, just use some common sense with regards to matching wheel speed and it will be fine.
Have shifted on the fly since the “little guy” was brandy new! 5000 miles later still as smooth going in and out of 4wd. Rear diff is quieter also. We just love the little guy
I try to anticipate when I need 4 wheel drive then stop and shift into 4 and when I get out of the area, I stop again and shift out of 4 wheel because I only like surprises at Christmas and my birthday and who knows, when you are stopped you can take a leak and have a beer.
I shift mine all the time while moving, but I definitely don't shift it if the rear wheels are spinning. Typically, I let off the throttle to shift it just to take care of equipment.