My 1999 Cavalier just started making a grinding / rubbing noise in first. As soon as it shifts, it is fine. I have checked the transmission fluid and it is OK. Where do I start to diagnose / fix this problem?

does it matter if you are turning, on the gas, letting off the gas etc.? It may be cv shaft (more torque in first). Better discription would help.

I have noticed that it is doing it in park and reverse as well as in 1st. It doesn't do it in neutral and as soon as it shifts into 2nd the noise goes away.

It doesn't seem to matter if I'm turning or not.