Well its not supposed to shift oddly when its cold either. However, transmission fluid expands when its hot. If your transmission shifts normally when its hot but not when its cold, I'm guessing that you don't have enough transmission fluid there to begin with. When there's too little fluid, odd shifting is noticed. This is a cheap and easy problem to fix.
Did you recently change the oil in your transmission? There is a special technique associated with changing the oil. Read up on the bentley manual for this technique. Search these forums for the download link. Let us know how it goes.