How to use 4 wheel drive on my 2006 Kia Sorento crossover?

I have a 2006 Kia Sorento crossover and I think I may be using the 4 wheel drive feature wrong. I have only tried it when it was snowy or icy, never on dry roads, but it seems to get stuck in 4 wheel drive even when I take it out. Eventually it sounds and feels normal again. What is the proper way to use it? Can I switch it into (and out of) 4 wheel drive while moving or should I wait until I am stopped. Am I screwing up the car already(I have only had it for a little while) or is that normal? Thanks for your help