Yep we all have to start somewhere, welcome to the 4x4 world!
First, your Wrangler came with a type of 4x4 system called a "part-time" 4x4 system that is really only designed for use offroad on loose or low-traction surfaces. If you shift into 4x4 on the street, you'll feel eratic steering and jerky handling as the front & rear tires fight each other. 4x4 systems that are suitable for street use are known as "full-time" but those are more advanced and only available in more street type Jeeps like Grand Cherokees, Liberties, etc.. The manly-man Wrangler's 4x4 system is strictly a part-time offroad-oriented 4x4 system.
Offroad, 4Hi is for driving on low traction unpaved road surfaces at faster speeds. Like on sand, mud, soft dirt, roads etc. Pulling the lever further down past Neutral gets you into 4Lo. 4Lo is for the tricky unpaved offroad terrain and helps you because it allows you to drive MUCH slower to maintain better control in difficult terrain. You'll really feel like you're offroading once you shift into 4Lo, it is a "dramatic" gear ratio that is fun to drive in. Its lower gear ratio also dramatically increases the amount of power available that is useful for climbing steep trails, obstacles, etc.. With your transmission in 1st gear and the transfer case in 4Lo, you'll be driving at extremely slow speeds like 1-10 mph at the most with your engine rpms up like you're doing 60-70 on the highway.
Shifting into and out of 4Hi can be done at any legal speed, it is a "synchronized" 4x4 setting which means it won't grind as you shift in or out of it. It can be used at highway speeds if, for example, your highway was covered in snow or ice. It's not suitable for use on a paved road that is simply wet from rain, there is too much traction available for it to work well.
Shifting into 4Lo requires a little more technique. 4Lo is an "unsynchronized" gear so if you're not stopped or nearly stopped, it'll grind badly as you try to pull the lever into 4Lo. This is the funny part... even when you're shifting into 4Lo correctly it can sometimes grind a tad. Depending on how the gears are lined up, it may shift right into 4Lo, or you may have to be rolling at a dead-slow "crawl" to get it into 4Lo. So slow that any slower and you'd be stopped. And it takes a healthy pull to pull it into 4Lo, don't be afraid to pull on it so long as you're stopped or at a dead-slow roll. I seem to have the best luck shifting grind-free into 4Lo when barely rolling at that "dead slow" crawl. Again, some grinding is normal at times, don't let it scare you... just don't try to shift into 4Lo at any speed faster than 0 to 1-2 mph at the most.
Finally, here's a quick article I wrote years ago on 4x4 you might find useful, hopefully it won't put you to sleep too quickly. Once you read it, you'll know more than probably 90% of the 4x4 users out there.
4x4 & Torque answers
And if that didn't put you to sleep, here's one more that might help do that that covers more 4x4 stuff like lockers & limited slip differentials. Sorry they're so wordy but... :)
What? Why do I need a locker? I thought I had 4X4!