The clutch on the truck itself (the one you drive with) engages and disengages the transmission/transfer box and thus the PTO, so you can use that to ease into the pull.
The clutch on the winch itself (side to side lever) engages and disengages the winch when not under load from the winch drive shaft. Don't use this for disengaging or engaging under load, it's just a very basic dog type clutch.
The Lever on the floor engages the winch PTO to the transmission and controls the speed range over and above what the engine puts out with the throttle (use the hand throttle).
If you want, you can run the winch cable out (release the clutch on the winch and pull the lock pin out thats on the side (this just keeps the winch from unspooling while driving around) and pull it down your driveway a good distance to say a log or your kid's wagon with some sand in it and re-engage the clutch on the winch so it's connected to the winch driveshaft. Then crank the truck up, engage the low range takeup winch setting on the floor of the cab, set for a very low idle and leave the truck in neutral. The winch drive shaft will then be running up slowly enough that you can get out and take a look at how it's handling and even play with the controls. Better to have a second person there but the low range on the winch is pretty slow with an idling engine.
My truck doesn't seem to mind me taking the winch clutch in and out with just the load of the cable but you have to do the engagement/disengagement smartly. Flub it and you can break the teeth. If you do it under load, you will break the teeth on the dogs.