It could be the transmission fluid. You might want to check the tranny fluid level to make sure you have enough and aren't burning your gears to death. The owner's manual should tell you where and how to check the fluid level. You'll need a special square wrench to unlock the nut ... or take it into the dealership and they'll check it. It will be much easier to check if you have a lift for the car and can take one of the wheels off. It shouldn't take more than 30 minutes to check, though, if you have all the stuff. At least that's usually how one would go about checking the tranny fluid level. It may be easier or harder on different cars.

But are the gears engaging properly? Are they making any noticeable noise, probably a high-pitched whining or scraping noise?