Always leave your receiver set to 8 Ohms. The other settings are there to make sure it passes the requirements for the Underwriter's Laboratory listing.
They basically say that a receiver designed for household use can not have an instantaneous current draw of more than some number of amps, and in theory running a less than 8 Ohm load could produce a draw that high.
Setting the receiver to 6 or 4, places an artificial limit on the receiver's current draw (a lower limit anyway, most amps are current limited even at their 8 Ohm setting, but to a more reasonable level). In the real world, sometimes you want to pull a little more amperage to provide that bass kick. Nothing bad will happen with a few loud thumps a minute, though a continuous draw that high will shut down the amp.
If you do happen to shut down an amp, just make a note not to play it that loud again (make sure it is a written note, not a voice annotation, because you're likely making yourself deaf playing that loud anyway).
