You don't HAVE to set up a RAID config... only if you want to. And if you do, you need to decide if you want to do a RAID stripe or RAID mirror, or both since you have 4 drives.
That said, you do this with Disk Utility. Run that, select a disk (not a partition), and then the RAID tab. You'll then have to drag and drop the disks you want to make a RAID disk from into a box at the bottom, pick the type of RAID array you want, and label it.
If you have OS X already installed to a partition, then you can't select that disk as part of a RAID array, IIRC. You'd have to boot from the install DVD and run Disk Utility from there, and probably have to reinstall OS X also when done (setting up a RAID array should wipe all data off the disks, IIRC).
Just be VERY sure of what you are doing, and have a backup of any important files in a safe location before doing anything.