Mine does this same thing here in MN, (Right now 8 below zero), I usually have to drive for about 5 miles or so before it shifts. The reason for this is because when it is cold out the transmission fluid gets thicker.
Therefore making it harder for the transmission to pump it through to get it into overdrive until the fluid is warmed up enough. And no, you are not doing any damage to your transmission because of this, no worries.
'00 Grand Cherokee/Rally Jeep-Ojibwe Forests Rally Heavy Sweep #95 -4" Teraflex Lift, Homemade Adj. Longarms, 33x10.50 BFG All Terrains, 4.2L built, bored, blueprinted & balanced, Lots more..
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Black '75 CJ5- Built 304, 4.88's, Dana 44 Spooled, Dana 30 Spooled, 4" lift, 35x12.50 tires