How far can you lift the clutch pedal off the floor before it starts slowing the engine down? If it starts grabbing right away, you may need to bleed your slave cylinder. As a clutch wears, the distance off the floor for the pedal to start to engage the engine to the transmission grows higher, but if you are catching pretty low, and lower than it had been, there may be air in the slave cylinder. If all of that appears to be normal, then it could be as simple as a cold transmission. Does this happen even when the engine and transmission are warm? Try holding the clutch down for a bit more time before going from neutral to first. Does this help? One other possibility is pilot bearing friction. If the pilot bearing is coupling engine revs into the transmission input shaft, then that shaft will tend to remain spinning at engine speed, despite waiting for the clutch to allow the shaft to stop turning on a non-moving car. This imparts rotational force into the gearbox and the thump that you hear could be the synchros stopping the spinning of the shaft.
Try this: hold car stopped, with the engine running, shift into second gear with brakes on and clutch in.
Move the shifter quickly into first gear from second. Did it thump? If it did not, then the clutch is allowing the transmission input shaft to spin. Having second gear selected while at rest ensures that the shaft is not moving. Moving the gear selector quickly ensures that the input shaft cannot suddenly speed up while your foot is on the clutch and you take it between second and first gear.
Personally, if I am idling in neutral and press in the clutch and select first gear, it will thump if I don't wait for the spinning of the transmission to end, after a 2 second pause. It is sort of harmless, but it does contribute to the end of the synchros just a hair bit sooner, but so does just about every shift while the car is being driven.