Here are what I did according to Ioannis sugestion:
In Config word:
__config _CONFIG1, _FEXTOSC_OFF & _RSTOSC_HFINT32 & _CLKOUTEN_OFF & _CSWEN_ON & _FCMEN_ON

;HFINTOSC with OSCFRQ= 32 MHz and CDIV = 1:1 - means Int.Osc 32 MHz
Then I put
OSCCON1 = %00000011 ' 32 MHz divide by 8 = 4MHz
OSCCON2 = %00000011 ' 32 MHz divide by 8 = 4MHz
DEFINE OSC 4

Do you mean that I have to do:
__config _CONFIG1, _FEXTOSC_OFF & _RSTOSC_HFINT32 & _CLKOUTEN_OFF & _CSWEN_ON & _FCMEN_ON

;HFINTOSC with OSCFRQ= 32 MHz and CDIV = 1:1 - means Int.Osc 32 MHz
And then to define
OSCFRQ = %00000010 'by HFINTOSC Frequency Selection bits define 4 MHz Osc.Freq.
DEFINE OSC 4 'tell PBP that the operating frequency is 4 MHz

To be all correct with HFINTOSC is it FCMEN_ON or FCMEN_OFF