4 weel Locking hubs

Yes, on the front, only.

Do not try to drive this vehicle with the rear hubs unlocked, it's dangerous.

Do not try to drive this vehicle with all hubs unlocked, as your forward progress will be zero.

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Locking up all the hubs would increase fuel consumption as you will be physically driving more components of the power train. Any differentiation in tire diameter increases differential nest wear and adds more friction both side to side and front to back through the transfer case. Ex. If the diameter on the fronts are less than the rears then the rears will in effect push the fronts which overall will increase friction and wear. Most 4 wheel drive systems are designed to only be fully engaged on slippery or non pavement surfaces.

I believe that the OP was referring to free-wheeling hubs that can be locked manually or electrically. During normal use, the front tires would not be connected to the drive shafts.

Problem is, that doesn't really saves much gas, since all the front running gear will still be driven by the engine.

The best way is to have a shift able transfer case that will disengage the whole front drive system and let the tires free wheel.