On the 4WDLo problem - never put it in 4WDLo unless you're actually off road or in really low traction (all snow and nice, not just a little here and there). When you turn, the tires
can't rotate at different speeds and it builds up pressure in the drivetrain. That's why driving in reverse fixes it.
Depending on the design, you can back up carefully with the sway bar. Just be sure to stop if it starts to turn sharply.
Unfortunately, the lug nut problem is probably stretched threads on the studs and nuts. It's also possible that the holes in the wheels are a bit mangled or thinned around the edges, so there's not enough to grip on. Just in case, though, it's probably worth removing the nuts and making sure the threads and surfaces on both sides are clean and try, then re-torquing them.
It's a bad long-term solution, but if you need something to hold it all together long enough to get to someplace where you can get a more permanent fix in, you could probably add a second nut on top of the first to lock it in place. Loctite might also keep them from working their way out as quickly.