It is true that I know some Nevadans that have gotten by with only 2WD vehicles during the winter. It is more economical, but then you have to be careful with how you drive. With 2WD, the power and torque are distributed to only one axle, not both. It's not just the road surface that matters. Other factors include steep turns and hills, especially if you live in a rural area.
There are some companies that can upgrade your SUV or other vehicle to four wheel drive. One is Quigley Motor Company in Manchester, PA. The company might have been headquartered in Southern California prior to being in Manchester. In their "About Us" section, it is stated that the company can equip GM's trucks and SUVs with a right-hand drive conversion, which has attracted customers in the United Kingdom, Africa and the Far East. Here is Quigley's website:
Other companies include Sportsmobile, Ujoint offroad, QuadVan and Advanced 4WD Systems.
As for converting an SUV from 2WD to 4WD, it depends on the amount of resources and connections that you have to make it possible. Make sure to not rush the conversion process, there are a lot of parts and details to look at and modify. To convert a hybrid SUV from 2WD to 4WD is more complicated. Feel free to type in "convert suv from 2wd to 4wd" if you want to perform a web search.
I will leave some links for you to look at in your spare time. One is for a 2009 Chevy Suburban owner wanting to change to 4WD. One is from an owner of a 1999 Toyota 4Runner and another is a 1994 Jeep XJ Cherokee.
Another option is to own an SUV with part-time four wheel drive, where you can switch from 2WD to 4WD with the simple pull of a lever or the push of a button. My mom has a 1996 Jeep Cherokee with a straight six engine, there is a switch to the left of the transmission lever that has 2H, 4H, 4L and something else. Here is a link that offers more insight into the comparison of 2WD vs 4WD: