yeah on my 95 LX the shift light is WAYYY too early... I usually shift at around 3500rpms or so, and even though I don´t have a tach I can generally feel where to shift.
I´ve heard that if you drive it hard like I do, then it will re-learn your shifting at a higher rpm or something. I´m afraid to mess with mine, because I´m getting about 41.3mpg highway (when I´m not driving like a maniac) and I can´t imagine it getting much better than that...