Yes, but running in AUTO has its own risks. Unless the surface is patchy and you need traction such as around town with turns and hills, we recommend against using AUTO. It wears out the transfer case clutches and if it detects wheel slippage, the engagement can be quite abrupt and could result in breaking the back end loose or breaking an internal bearing support in pre-2005 transfer cases. It's not a full-time AWD system like Subarus, for instance.
Read a bit in the Owner's Manual about the A4WD mode and consider running it in 2HI mode, especially on highways where you should not be driving it in a manner that results in wheel slippage. Experiment in a snowy parking lot to discover how A4WD mode behaves for you, and see if you can drive in a way that doesn't demand it.