gear selection just depends on what you're doing. I run in high range 99% of the time. if I get in a boggy situation, or if I'm going to be doing alot of low speed driving (under 7 mph) I'll put it in low. or if I'm going to be pulling a trailer at low speeds (although I have pulled a jetski trailer in high range at 35 mph with no problems).
it's about common sense the only thing you're going to hurt using high range when you shouldn't is your belt. it will cause more slippage and can take it out prematurely.
another advantage of using 2wd unlocked all the time is increased tire life. both the front and rear tires will last longer if the rear end isn't locked into trying to go into a strait line.