How do you know if your locking hubs are bad?
Beside this, is it bad to leave your hubs locked?
Good news is that you will not need to stop for shifting into 4WD - with the locking hubs engaged the drive lines are synchronized. Leaving your hubs locked will cause no damage to your vehicle and will not influence it's handling.
Keeping this in view, when should you lock your hubs?
On a rear wheel drive vehicle (most 4wds) the rear hubs are constantly in a locked position and cannot be unlocked, also the diff is constantly engaged to the axles. When in 2wd (on a 4wd vehicle) with the front Hubs locked, 4x4 need to be selected for any drive to be transferred to the front wheels.
The benefits of manual locking hubs. Back in 1948, Arthur Warn developed the WARN locking hub so surplus WWII Jeeps, which had full-time four-wheel drive, could perform better on the pavement. These hubs allowed the vehicle's front wheels to be disconnected from the drivetrain.