Make sure to activate pX_SetCCD(1); function, then attach pXent_SetCCDSkeleton(my,vector(0.25,0.25,0.25), 0); to your entity action, now you can jump on any entities.
Play with pX_setautodisable(1.0, 1.0); function too and make your pXent_setmass a bit bigger.

From PhysX Documentation
"Continuous collision detection is useful for fast moving objects. With traditional collision detection, fast moving objects pass through other objects during a single time step. This effect is known as tunneling. Imagine a bullet traveling towards a thin metal plate, in the first time step it would be on one side and in the next it would be on the other.To deal with this problem, a technique known as continuous collision detection (CCD) is necessary."