It's a very easy process, so I'd do it. I have changed mine a few of times to get something I like. I started with an 80w90 dino oil and didn't like it much. Then I discovered 75w90 StaLube at my local PepBoys and like it. Not sure if it still available - I bought a couple of gallons years ago, so I've been good for a while now.
Have you checked your tranny level? Mine was low from the factory which caused me a bit of a panic at the time, but I hear it was common on the 02-03s.