Free wheeling hubs are there to improve fuel economy, you can leave them locked while you are on the road and not in 4x4, what it will do is just keep the front diff spinning, there is no harm in leaving them locked while not in 4x4. Just be careful not to leave only one side locked.
Locally there is a hype that if you leave them on, something disastrous will happen but that is not true. I personally leave mine locked all the time, because its easier to get in 4x4 mode, and so because you never know when you need to quickly get out of something.
The good side about leaving the hubs locked is that, the front diff keeps rotating, so it stays lubricated and does not rust. Bad side is that you will have lesser steering angle than having them free.