I just picked up my new E92 6MT and I've got the same issue.
Starting from a stop in neutral, push in the clutch and shift into first and as I do that, you can feel it sort of clunk into gear. Doesn't grind, just sort of drops into it's notch with a clunk.
Then when rolling, the shift into second is the same thing, but a little worse, like a clunk clunk when pushing it into the notch. Probably the most difficult part of the tranny to learn because it sort of freaks you out when you feel that at first and you don't want to push it through the clunks too hard.
At first I thought, I guess I'm just not pushing it into the notch correctly, like at the wrong angle, or maybe I'm just not using the clutch correctly in those gears, but it appears that it's just a normal. I'm sure I'll get better at the shift into 2nd and the break in service will help. I was just mainly worried about the actual shifting into 1st and 2nd and why I was feeling clunks there, not so much about engaging and disengaging the clutch. It's all fine if it just clunks due to the rugged nature of the tranny, I can accept that, it's just interesting when you first learning to drive your new $70k+ car and you want to be as gentle as possible when figuring out the new tranny's behavior.