DONT EVER RUN OUT OF FUEL! You have to bleed the system, and that link greg posted will get you thru it.
As mentioned, the tractor has to be in motion to get the 4WD lever to engage. there are 2 flat faced pawls in the gearbox. Each looks like a 6 slice pie with every other piece missing(old fallout shelter symbol). One is connected to the front diff via the transfer case and driveshaft, and one is connected to the transmission and rear diff. since they are flat faced, they have to be lined up to slide together. So while driving along, just reach down and pull the 4WD lever toward the 4WD position and hold gentle pressure in that direction. You don't need to use the clutch or anything else, just hold pressure on the lever till it slips into place. The two pawls, when the tractor is in motion, rotate at slightly different speeds, and will eventually line up and slip together.
Because these two devices typically rotate at different speeds, the only give in the system once coupled into 4WD is the soft earth you are driving over. Driving over solid surfaces like bare rock, pavement and concrete will cause the gearboxes internals to bind and eventually break! 4WD = soft earth only. This is also why 4WD does more soil damage when used.