First, read my two posts at the top of the Offroad & Offroad Equipment forum where it will explain a lot of 4x4 things for you.
Your Wrangler only has a part-time 4x4 system, so it is part-time for 4Hi and part-time for 4Lo. That means it is not suitable for use on paved roads, unless they are totally covered in snow, ice, mud, etc. You really shouldn't even use either of the 4x4 modes in rain, there is too much traction on all but the slickest roads even when wet from rain for the type of 4x4 system the Wrangler has.
Your instrument cluster has a Full-Time light on it but only because it shares the instrument cluster with the Cherokee which had an optional full-time 4x4 system available. The only thing that will light up on your dash is the 4x4 light when you're in either 4Hi or 4Lo. The full-time light will, since your Wrangler only has a part-time 4x4 system, never light up.