high RPMs between 1st and 2nd Gear then Rough Shifting

hi, I just bought a automatic 95 Montero LS and love it. It's been good to me until recently. That's when, whenever I first drive it (for that day) it shifts rough between 1st and 2nd gear. Normally the RPMs get up to about 2,000 then it shifts to 2nd. Now, the RPMs get up to 3,5000 to 4,000 then it shifts rough. After I drive for 10 min or so the problem seems to go away. Any idea what is causing it? The "A/T" also flashes for a minute or to then goes off, only to come back on a few minutes later for a minute or so. This happens at least 5 times while driving.

*update* shifting into 4WD does not fix the problem. But driving for 5 or so minutes does. It seems to be related to the cold weather.

My main concern is: is the high RPMs and rough shifting bad for my tranny or engine?

thanks.