There is one thing you should learn about a manual transfer case. Don't try to force it into 4WD. Sometimes the gears don't line up when shifting into 4WD. It is best to put low pressure on the lever and keep moving until it drops into 4WD (just make sure the rear wheels are rotating the same speed as the front wheels). The shift fork inside the transfer case is plastic (at least mine is) and too much force can break it.
Low range is usually not a problem but it is best to be stopped when doing it. Moving slightly is okay if you know what you are doing.
Shifting out of 4WD is not any problem. If the transfer case is in a bind, you can shift out with the lever, but there is a spring mechanism inside that compresses to let it stay in 4WD. As you continue driving the bind is relaxed and the spring mechanism will eventually shift it out of 4WD.
An electric shift transfer case lets you shift without having to think about it, but can be problematic too.