Razor and Pilot are partially correct. More specifically, it has to do with the input and output differences of your gearbox - ie, how fast the side connected to the clutch, and therefor engine is going vs. how fast the side connected to the chain and rear wheel are going.
Next time, when you're at a stop light and the bike is idling in Neutral, pull in the clutch, count 1.5 seconds, and then shift into 1st. It won't clunk.
When you shift from 1st to 2nd, you're timing has to be EXACT to get it not to klunk.. If I were to estimate shift time, I would say somewhere between 700ms and 1.2 sec. If you shift too fast at lower RPM's, you don't give the engine, and there for the input shaft, time to slow down and re-match the output shaft (rear wheel). Which causes the dog-teeth to engage very harshly and make a loud "klunk" sound.
This is completely dependent on how wide the ratios are, (obviously ALL the same for the 250, regardless of final ratio - sprocket and chain). I've found 1st-2nd being a very large difference. 1st is Extremely short, and 2nd is quite a bit taller. The difference between 1st and 2nd being much larger than 2nd to 3rd.
So really give that engine some time to slow down before you shift.... See if this helps.