I found a gravel parking lot. Shifted in 4 lo, then engaged the rear locker. Once the light quit blinking, I drove in a circle. You'll be able to feel the inside tire dragging if it's locked. Then hit the button again to engage the front, and repeat. It's pretty obvious when it's working, even if you've never driven a locked vehicle before. Make sure the turn is tight tho...the tighter the turn, the more obvious the locker becomes.
Also, if the light doesn't quit blinking, you might still be locked up. It should lock pretty quick. If it feels like it is taking to long, roll forward slowly. If it still hasn't gone solid, you might have a bad switch or a locker problem.