World|Particles|Fixed: Spawning particle generators on rockets

A mobj's private data was not yet created when the mobj entered its
first state and thus didn't trigger a particle generator. Now the
private data of mobjs will be created just-in-time also when they
change state, not just when they think.

In general, thinkers still create get their private data when
they think for the first time. Once thinkers are managed more as C++
objects, private data should be part of the atomic object construction
procedure -- currently the thinkers are POD objects constructed in
pieces.

IssueID #1870