Hmmm ... let me ask you this. What happens when its warmed up and not cold? Meaning you didn't leave it sitting for long. Does it engage right away?
Also, does this only happen when you put it in gear? Does it shift normally between gears when you're driving?
I ask these questions because some people experience a 1-2 second lag when putting it into gear. My X does this. Some have mentioned its a sign of the tranny going bad but my X has done this since I bought it. It had about 32K then and now I have a little over 60K on the X.
No problems so far (knocks on wood).