Driving in auto will not harm anything. When in auto, if the rear wheels slip then the front wheels will engage. When on pavement, always have it in auto.
Yes, only lock in in 4-Hi if you are off-road in dirt or driving on-road in a whole lot of snow. Frankly I don't care for the way 4-Auto and the Stability Control jerks me around in snow. If there's a lot of white stuff I just lock it in 4-Hi, turn off the Stability Control, and drive it myself unless I'm on a snow-covered highway going 45 or so.
IF this is your first 4x4 and you are not familiar with driving one in snow, keep these things in mind:
1. When you are turning on a snow covered road, it will want to go straighter than what you have the steering wheel turned for. The front tires, because they are turned, will break traction long before the rear tires will. This will cause the vehicle to "push", as the NASCAR drivers say. Go easy on the gas in turns.
2. 4x4's GO better in snow than regular cars but they do not necessarily STOP or TURN any better. It is easy to become overconfident and this is why you will sometimes see more 4x4's in the ditch than regular cars. 4wd works by letting you power your way out of problems, however if you are already going too fast, it won't help and now you've got
more problems...like guardrails, utility poles, trees, oncoming traffic, or parked cars.
3. Tires matter. Dedicated snow tires are best, and all-terrains are better than all-seasons or mud-terrains. The all-season tires that came on my Sport Trac new were utterly awful and downright dangerous in snow. After the first winter with the ABS working overtime, I got all-terrains before the second winter. Much better. I run Blizzaks on my wife's Taurus in the winter and it goes as well in snow as my truck and turns and stops better.
4. Ice. Not much you can do except brace yourself for impact. Dedicated snow and ice tires help a little bit.
Feel free to quote or copy and paste my snow driving tips.