Think of it this way: You have three differentials in your truck. One in the transfer case, one in the front axle and one in the rear axle. Locking the diff in your transfer case essentially puts you on par with most of the old school part time four wheel drive rigs like a series truck, in that your front and rear drive shaft are now forced to turn at the same speed. Locking the arb in your rear axle would do the same thing for the rear tires in forcing both of them to turn at the same speed.
Personally, I would lock the center diff in the transfer case first. Then, if I encountered traction issues with one of the rear tires slipping, I would lock the arb to get through the obstacle.
Like MonLand suggested you may want to read up on theory of operation, also watch other folks on your next wheeling trip and see you they use it, as well as what works for them and what doesn't.