no.
turn it on only when you're on mud or sand and then too only when necessary.
on roads 4x4 isn't needed, however even if you feel like when its raining just turn the 4x4 on but not the central diff lock.
central diff lock on means that the central differential inside the transfer case is locked which means that the power is going to be equally (almost) distributed to the front and rear diffs, no matter what. and the differential is not doing what it is supposed to do.
central differential allows you to drive on normal paved roads with 4x4 ON and when you are bashing somewhere else and need some help, central diff can be locked.
someone else can probably explain much better than me 
other than that, you can also have individual diff locks, for the front and rear diffs. this would allow you give equal power to both wheels on a diff. Normally, the wheel with the least traction gets the most power, to eliminate this, diff lock is engaged. however, this is also meant to be used on non-paved roads only. (terrain which allows some slipping, like sand, mud, grass, the floor of the tv lounge in your home)
