You can check the adjustment on the spring loaded gear operator selector/plunger which is a spring loaded wedge that locates in a notch on the selector assembly. It's possible this isn't pushing down into the notch properly meaning the gear doesn't engage very well.
The adjuster is a grub screw with a lock nut. On my bullet gearbox (which I'm assuming is broadly similar with the exception of the clutch pushrod) you remove the outer cover of the gearbox and it's located towards the top/front corner (or top right as you look at it from the side). Screw this in to increase the spring tension.
It could also be that the wedge on the plunger or notch on the selector is worn and/or a poor fit.
BUT (there's always a but eh?)
When my bullet started jumping out of first, it was partly because of all of the above but mostly because the dogs on the gear clusters were chipped/damaged (perhaps as a result of said poor fitting selector).
Selector mechanism:
Damaged gear clusters
