You can always depress the clutch like you're about to shift then change the transfer case. All shift-on-the-fly means is that 4HI is syncro'ed so you don't have to stop. Really though, you should be in 4WD before you actually have to use it.
What Oldjeep is talking about is called rev matching or sometimes called double clutching. This is when you try to match the speed of the gears with each other so they mesh with as little resistance as possible. This technique is hard to master since most people don't practice it normally. But like he said, it's jsut like shifting gears without using the clutch.
