As said the manual hubs when locked will cause the front axles and differential to rotate with the wheels.
If trans-axle(shift select on dash) is in 2wd then front drive train is in Neutral, so not engaged to get any power from the engine/trans.
Running locked doesn't hurt anything but the axles and differential do have internal friction so MPG will go down.
Good read here on Ranger 4x4 hubs:
http://www.therangerstation.com/tech_library/HubDiagnosis.html
Swapping to manual eliminates a problem with older auto-hubs, and can bring piece of mind.
When you need 4WD is when you find out the auto-hubs are NOT working, lol, and at that point it does become a PITA.
But money is money and you can always pull off the cover and inspect them first, often previous mechanics used a bunch of axle grease in the hubs which actually prevents them from working, especially in colder weather when the grease gets thicker.
They need to be able to move to engage and disengage.
Cleaning them will usually give you auto 4wd back again.
The clicking usually means one hub is not engaging but the other is, so 50% of the system is working

Since most front axles are not limited slip the hub that is not engaging all the way is the one that gets the power so the click, click, click.