Is there a way to check if the 4wd is engaged, without putting all 4 wheels up on jackstands?

Year make and model and what transfer case?
The non automatic 4W ones you can drop it in 4 wheel and make a sharp turn.
If you feel crow hop it is working.
Or drive off into a mud hole and see if it will pull out.
Or riise right front wheel and see if you can spin it by hand.
MT

Do a burn-out on gravel?

SUre! As long as you lick rocks chipping your paint.

I've often asked myself the same question.
Answer: Gravel .... nice to know I was doing it right :)
As for the paint ... its a blazer man, if you worried about a paint chip then why the 4wd... buy a honda.