No, it isn't a fuel economy issue. Its just that sooner or later one of the automatic hubs will break. Replacement auromatic hubs cost about $275 each. Replacing both hubs with manual ones costs about $200 for both, including the cost of a conversion kit and a hub nut tool. Its very easy to do the conversion.
The manual hubs are stronger and more reliable, and therefore are faviored by the off-roaders. Even if they don't break, with age the auto hubs can get flaky, either not engaging or not disengaging properly. With manual hubs, you know always what position they're in (unless you have a poor memory).
Procedure for using manual hubs: If you anticipate snow, mud or sand along your route, lock the hubs before embarking. When you encounter slippery conditions, push the 4X4 button. When you get out of the soup onto dry pavement, push the 4X4 button to go back to 2WD. At the end of your trip, get out and manually disengage the hubs.
It is a good idea once per month to lock the hubs (but don't go into 4WD) and drive for a couple of miles. This helps keep the front drive components loose and lubricated. However, if you drive for an extended period, gas mileage will suffer, because the front axles, diff gears, and front driveshaft are turning, introducing some drag.
Bob