I usually have no problem double clutching into 1st. I end up double clutching into first most of the time because sometimes I will come to almost a complete stop (around 10MPH) and engage the clutch and it slides nicely into first and GRINDS! I hate that. There is no lockout, the clutch is fully engaged and the thing still grinds! Double clutching seems to solve the problem and it slides in smoothly and doesn't sound bad at all. Of course you can't just double clutch and jam it in, it does take some good rev matching to make the whole process smooth. When it's done right it feels awsome though, you just come launching out of a turn. It's great for tight hairpins at the track and whatnot.
I really wish the WRX had 6 gears when I am at the track. A close ratio tranny would really feel good on this car. Sometimes the gears seem too tall and I want something in between. It's still a nice gear box though. I am coming from a ITR so compared to that the WRX gearbox doesn't feel quite as nicely matched to the engine. I guess I will just have to get a full dog box with rally gear ratios