Amccoy, you absolutely can, at any speed, in any gear. With on very important exception, if the rear wheels are slipping, and you put it into 4x4 at this point, it's very likely the roller cage in the front diff will break at that moment.
That's why I suggest, to be safe, get off the throttle for a second before hitting the switch. This will put you at a coast when you switch, which means the front and rear tires should be turning at the same speed.
That's key, you can be moving, but you want the front and rear tires turning at the same speed, thus getting off the throttle for a second should insure that.
You wont break the roller cage every time you hit the switch with the rear wheels slipping, but eventually you will.
Sorry for sounding so repetitive, but I wanted to be very clear.