I knew there would be an equal number of opinions on opposite sides of this topic. Since I've been teaching four-wheel-drive technique for 15 years, and driving for a lot longer, I'll add my two cents.
I used to stay in two-wheel-drive on gravel and dirt roads until traction became an issue, at which point I'd shift into 4WD. I've since altered my strategy, and shift into 4WD much sooner and more often. Why? Better control, even when you think you don't really need it. The only exception is very tight twisty roads where gear windup might be an issue. (The corollary here with a full-time 4WD vehicle such as a Defender would be deciding when to activate the center diff lock.)
Regarding fuel economy—one of the main reasons many people stick to 2WD as long as possible—Graham Jackson and I tried an experiment when we crossed the Simpson Desert in Australia, a 600-mile track of stabilized sand dunes. We each were driving a Land Cruiser Troopy equipped with the 1HZ diesel, and had been getting virtually identical mileage to that point. Then we tried an experiment: Graham shifted into 4WD low range and left it there for the duration; I used 2WD and shifted back and forth into 4WD whenever I felt it remotely necessary. And at the end of the track, our fuel economy was too close to call.
Regarding the other approach mentioned: Only shifting into 4WD when you're virtually stuck is harder on the vehicle, harder on the trail, and harder on you.