I never start mine in gear (unless I stall it in traffic), and I don't have a problem with heavy clunking when engaging first gear, even after a cold start. Three things got me to that place; getting ALL the air out of the system, changing the primary lube to ATF, and waiting about three to four seconds after pulling the clutch lever in before engaging first so the input shaft has time to slow down. Unless someone designs a new trans with synchro's like those in a manual automotive gearbox, a Harley gearbox will always clunk and jerk if you let the input shaft spin as you engage first gear. It's simple physics. Try a simple test. Start the bike in neutral, let it warm up thirty seconds while you don your gloves and helmet, pull in the clutch lever and give the throttle a quick blip (helps break the clutch plates loose after sitting), let the rpm's drop back to idle speed, wait a few seconds and engage first gear. If you wait too long and the input shaft actually stops turning, you may have to slip the clutch slightly to get the dogs to drop in. When I do this with my bike (I don't even have to blip the throttle to break the plates loose) I get no clunk at all even after the bike has set overnight.
Jerry