Let $M$ be a smooth $n$-manifold. A projective structure on $M$ is a class $p$ of torsion-free connections on $TM$ which have the same geodesics as unparametrized curves. 


The bundle of densities of projective weight $w$ is the density bundle $\mathcal{E}(w) \to M$ associated to the (tangent) frame bundle of $TM \to M$ for the representation $g \mapsto |\det(g)|^{\frac{w}{n+1}}$ of $GL(n, \mathbb{R})$ on $\mathbb{R}$. Now the standard projective cotractor bundle is defined to be the jet bundle $$\mathcal{T}^\* := J^1 \mathcal{E}(1) \to M.$$


Now from the point of view of Cartan geometry and Klein geometry, the usual flat model for $n$-dimensional projective geometry is the projective sphere (the double cover of projective space) expressed as a homogeneous space $SL(n+1, \mathbb{R})/P$, where $P$ is the stabilizer of the ray through the first standard basis vector in $\mathbb{R}^{n+1}$.


In the Cartan geometric picture of projective geometry, the standard projective cotractor bundle is the associated bundle to the Cartan principal $P$-bundle for the contragradient representation $g \mapsto (g^{-1})^\*$ of $P$ on ${\mathbb{R}^{n+1}}^\*$. Thus, for the projective cotractor bundle $\mathcal{T}^\* = J^1\mathcal{E}(1)$ we should be able to write down a Cech cocycle of transition functions with values in $P$. Is there any obvious way to see how to do this?



The standard projective cotractor bundle and its cocycle of transition functions
There are several aspects to your question, and I think that asking for a cocycle of transition functions is partly misleading. The point here is that as you observe in the quesiton, you can define $\mathcal E(1)$ as a density bundle, without making reference to a projective structure. Thus also $J^1\mathcal E(1)$ is, as a vector bundle, independent of the projective structure. Likewise, the canonical Cartan bundle associated to a projective structure is, as a principal fiber bundle, independent of the projective strucutre. (You can define it as $\mathcal PM\times\_{GL(n,\mathbb R)}P$, i.e. by an extension of structure group of the linear frame bundle of $M$.) The actual projective structure is not encoded in these bundles but in the canonical linear connection on $\mathcal T^\*$ or equivalently the canonical Cartan connection. 


To understand $\mathcal T^\*$ as a vector bundle, recall that there is a canonical exact sequence $T^\*M\otimes\mathcal E(1)\to J^1\mathcal E(1)\to \mathcal E(1)$ (the jet exact sequence). This alrady contains all the information needed to see that it is naturally associated to the representation $\mathbb R^{(n+1)\*}$ of $P$. Since $P$ is the stabilizer of a line in $\mathbb R^{n+1}$ it can be equivalently realized as the stabilizer of a hyperplane in $\mathbb R^{(n+1)\*}$. (The hyperplane is the annihilator of the distinguished line.) Being associated in this sense just means containing a distinguished subbundle of hyperplanes. 


Now you can further recall that choosing a linear connection on $\mathcal E(1)$ defines a splitting of the jet exact sequence, so as a vector bundle $J^1\mathcal E(1)\cong (T^\*M\otimes \mathcal E(1))\oplus\mathcal E(1)$, which tells you how to write down transition functions from those of $T^\*M$ and $\mathcal E(1)$. For any projective class $[\nabla]$ mapping a connection on $T^\*M$ to the induced connection on $\mathcal E(1)$ defines an isomorphism between connections in the projective class and connections on $\mathcal E(1)$, which leads to the standard picture of splittings of $\mathcal T^\*$ associated to the connections in the projective class. 


The reason why I consider the question of transition functions as partly misleading is that the description of $\mathcal T^\*$ as $J^1\mathcal E(1)$ also tells you that diffeomorphisms of $M$ act on $\mathcal T^\*$ in a specific way. This information easily gets lost if you describe the bundle in terms of transition functions. The "right" action is given as follows: A diffeomorphism $f:M\to M$ induces a pullback operator $f^\*$ on sections of $\mathcal E(1)$, basically given by composing with $f$ and multiplying by an appropriate power of $|det(Df)|$. As you can see, $f^\*\sigma(x)$ alredy depends on first derivatives of $f$ in $x$. The natural action on $J^1\mathcal E(1)$ then basically maps $j^1\_x\sigma$ to $j^1\_x(f^\*\sigma)$, so this depends on second derivatives of $f$ in $x$. Hence $\mathcal T^\*$ is not associated to the frame bundle of $M$ but only to the second order frame bundle. (Things can be similarly phrased in terms of the Cartan bundle.) With the "right" action of diffeomorphisms, it is then true that a diffeomorphism preserves the projective class (which singles out a finite dimensional subgroup of the diffeomorphism group) if and only if the induced map on $\mathcal T^\*$ is compatible with the tractor connection. 


