You can drive around in low with unlocked diffs all you want, and other than revving the hell out of the motor and transmission, you're not going to harm anything. When you lock the diff (or diffs), however, there is a binding in the drivetrain due to the wheels needing to spin at different speeds and them not being able to do so.
If you want to experiment with diff locks, I'd find a loose gravel parking lot, and roll down the windows and listen to the differences when making a low-speed, tight, circular turn. You'll hear nothing out of the ordinary with them unlocked, but you will hear sliding/spinning/crabbing tires on the gravel with one or both diffs locked. The vehicle may also shift or step out to one side or the other during that turn, depending on which wheels hold better traction. If the tires can't slide on the surface you're on (ie pavement), all that twist that would otherwise be wheelspin/wheelslip gets held in the driveshafts, tires, and hubs, causing wear and tear, and possibly excessive tire wear or failure of driveshafts and CV joints.
Basically, as was said, on a hard surface never engage the diff locks. On a loose surface, it is OK to engage them, but I'd recommend only using them to avoid being stuck, or to get unstuck.
Matt