First off, I would like to address the standard "read the owner's manual" response that comes with the when to use 4wd question. On the two part-time 4wd vehicles I've owned that I had the manuals for, the description of when to use the 4wd or how the system works have been terrible and, in the case of the manual for my Toyota 4x4 pickup, misleadingly worded to imply that you COULD use the 4x4 on dry pavement. I think a lot of it was just translation issues, so maybe the domestic manuals are better.
Basically, the front and back wheels turn at the same rate when you're actually in 4wd, so the only way you can turn when you're in 4wd is if one or more of the wheels is on something slippery. If you're driving around on dry pavement in 4wd and try to turn, you can cause serious damage to the transfer case and other 4wd components. The more difficult question is considering when to use 4wd on somewhat slippery conditions like a partially snow-covered or icy road. Usually when you go around a bend on a slippery road, all four wheels will slip or chatter a little bit but will generally hold their grip on the road. If it's only partially snow covered, though, there's a chance that one or two of the wheels will start spinning or lock up which can cause you to slide or a skid off the road. The faster you're going the worse this effect will be, so like the others have said, there's no set speed limit for 4hi, but you definitely want to take it slow.
The auto setting is great for partially snow-covered roads. It uses the same sensors the ABS system uses and when it detects slippage it automatically engages the 4wd. It is a reactive system though, so if you anticipate bad conditions in the next few yards or so it's better to manually engage the 4wd ahead of time, assuming it is safe to do so.