From what I've heard it causes excess wear to your front tyres and also the axle at the front isn't as strong as the one at the back so it also may damnage that.
Also if you do sharp turns, say into car parks etc. you may notice shuddering as the front wheels won't be able to spin as freely therefore slide a little and most tyres don't slide too well on road surfaces!.
Basically if it's a short strip of concrete or something whilst your out 4x4ing for some reason then you don't need to worry about it, but city driving in 4x4 isn't a grand idea. I'm always paranoid about people locking my hubs on me. Although seeing as you wouldn't actually be engaged in 4x4 from the transfer case I don't know how much damage that could cause before one noticed it. I presume less then if you were engaged in 4x4 with the wheels locked.