Fred, nearly all modern 4X4 auto trannys are still set up for running on pavement, not soft sand. The shift points are set at too low RPM for low speed driving in soft sand, so a lot of 4x4s overheat on the beach.
When you are in soft sand, keep a eye on the temp gage, if it begins to climb, shift to 4X4 low. This will increase the RPM your engine is turning and make the cooling system pull more air through the radiator. Most people on the beach wait until they get in much worse conditions to shift into 4X4 low than they really should.
Lugging along in 4X4 high through long stretches of deep soft sand is much worse for your engine, than the extra RPM you turn at the same speed in 4X4 low. Just because your truck has the power to lug through a bad stretch, don't mean you should abuse it by not downshifting. If its a short stretch, 1/4 mile or less, you're probably not going to hurt much by not downshifting, unless its really bad,