Really? 1st to 2nd is the only time I have trouble with. It feels too chunky and the MASSIVE rpm drop kills it. 2nd to 3rd feels really quick to me? How many miles does your car have? Maybe you should consider changing your transmission fluid to a "synchromesh" type fluid?
Sorry to say but Mazda cheaped out hard on the 5 spd manual trans in these cars. Only double cone synchros on 1st and 2nd gear and single cone for 3, 4, and 5. Mazdas sportier models such as the RX-8 and MX-5 both have triple cone 1-4 and double cone 5-6.
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