You will hear a chime when the system shifts into 4 low, it will automatically disengage traction control (EVIC will read "ESP OFF") and you will see "4wd Low" illuminated on your cluster to the right of the speedometer. To the left of the speedometer will be a light that looks like a car skidding to signal your ESP has been disabled.
This allows your truck to get maximum power to each driving wheel without the ESP interfering with slipping.
If you were in 4 low, you would know it, because your truck would drive VERY differently. The lower gear ratio (numerically higher) in the transfer case would make the truck feel very heavy. You would be hard pressed to accelerate past 10-15mph without freaking out like you were going to break something, and the shift out of first gear will almost give you whip-lash if you arent ready for it. All is normal
Also, an important note, when in 4wd (except 4wd Auto) Do not make any sharp turns on a solid surface. This will cause the drivetrain to bind up and your wheels to "hop" in the turns. Try to keep it straight or very easy turns unless you are in a slippery situation (Mud snow or sand) where the tires will not drag. You can pop the gear chain drive in the transfer case ($$$$$), Break a half-shaft/Axle ($$$$) or crack a tooth of a ring and pinion ($$$). Its important that you educate yourself and anyone who uses your truck's 4wd on proper do's and dont's. Please know that this hopping sensation is a normal characteristic of any 4wd, and if you do it once or twice you probably didn't hurt anything, just dont make a habit of it. If you want, put it in 4x4 lock and attempt a u-turn in a circle, you will feel exactly what I mean.