Hi rpm after starting?

It sounds like a lean pilot circuit, try screwing your air screw in 1/2 turn and see if it gets better. There is a jetting guide here -> http://www.ericgorr.com/techarticles/carbtuning.html

you might have a crankcase seal problem. Something to chech anyways

I had the same problem on my '03 Cr125 from new. I try to get the choke off ASAP. The engine would idle quick (im guessing about 3-4000rpm) and i worried about cold seizure. Pushing the choke in meant the bike then seemed to run out of fuel within 5-10 secs. I had to regulate it by keeping my finger in the choke. Anyway, i installed a v-force and a pipe, and was jetting to suit. The bike was hesitant at part throttle. I knew the problem was lean pilot circuit. Airscrew didn't help, i installed a 32.5 pilot jet (1 size up from stock) Hesitating cured. Bonus points, erratic idle cured too. Nice slow idle when starting from cold. And no fuel starvation.

Basically as someone has said, it's a lean pliot circuit. If the airscrew has no effect, try a larger pilot jet.
Sorry for rambling on!

turn in the air screw a bit

Me and my dads kx 250s 00 and 01 both do it too ... i say its nothing to worry about ..it only does it in cold weather and have had no problem ..so if it does it in cold weather its probly a jetting thing.