I used to have the same problem on my e-36 auto, (there's a thread in this forum somewhere) According to the BMW dealership here (2 places) this is due to the car holding the gears initially to achieve operating temperature quickly, and reduce the dreaded "cold wear", and quite normal and to be expected.
They say drive gently, keep the rpm below 3k until car gets warm enough, and it will shift normally. Just my 2 cents.
p.s - I did change the tranny oil for good measure, no noticeable change, but I'm happy if the Bimmer experts are!
2002 BMW 745 Li.