Hi all just wondering if the is any way to improve the auto gear box on my tj is seems like it take ages for it to change gear

Disconnect battery for 30 mins, then follow this:

http://i.imgur.com/hc4B0gL.jpg

With my 5 speed I feel that it could also change gears earlier.
It generally changes around the 3,000rpm mark when accelerating with a normal pedal position.
Is this normal?

I would also change the oil - can make quite a difference.

Without knowing the throttle position sensor reading, it is hard to say it isn't normal. In fact my standard driving technique in my AWD results in upshifts in the first 4 gears at about 3000rpm (if I'm accelerating in an 80 or higher speed limit area).

Definitely conduct some basic maintenance on it before anything else. Flush it out properly and replace with genuine mitsubishi oil. These boxes are very susceptible to failure. Maintenance seems to help in avoiding an expensive outcome.

Also consider fitting an aftermarket external transmission cooler. Heard nothing but good about doing that.

If you had a 5sp auto then you could load a ralliart rom onto the ecu for more aggressive shifting.

Ultimately, the 4sp is not made for outright power & speed but rather for comfort and fuel economy. And it does a good job of achieving that. The 5sp auto's were the ones made more for performance.