I think the best idea is to ignore any paradox problems. Don't worry about where/when exactly the jet engine came from, but just think about how the chain of events of the movie are affected by Donnie dying or surviving.
Something that struck me about this movie, is that I really see it as an anti-"It's a Wonderful Life" story, in a sense. In "It's a Wonderful Life", Jimmy Stewart gets to see what the world is like if he is never born. In Donnie Darko, Donnie gets to see what the world is like if he
doesn't die. The end result, is that Donnie appreciates what fate has planned for him (similar to Jimmy Stewart's lesson). He dies for a reason. I think the main reason is to save Gretchen, although he is also witness to many other effects.... every time I see DD, I want there to be some direct reference to It's a Wonderful Life... but the best I can come up with is It's a Wonderful Life->Jimmy Stewart->Harvey->Giant Rabbit->Frank, but I think that's a stretch
Also, I have a question I'd like to pose: Were Donnie's visions (Frank, the streams coming out of people's bodies) internal hallucinations/visions, or were they messages from an external source? My theory is that Donnie had some latent ability to see the future, but he couldn't consciously control it, though his subconcsious was able to use it to a certain extent and create the things he saw. Frank and the streams were manifestations of his ability to see the future, and also allowed him to see the wormholes that he and jet engine travel through at the end of the movie. At first, his subconscious uses his ability to protect him from his fate: he avoids getting crushed by the jet engine. Then, by the end of the movie, he realizes that it was a mistake to break from that fate.
And finally, it can be assumed that Grandma Death had the same abilities as Donnie, right? She was following her own stream to the mailbox all those times, but was never sure at what point in "space-time" or whatever that she was actually supposed to be there. Which is why she kept going back and forth. I think this acts as further evidence that seeing those streams is an ability that people are born with, and not some message from an external source.
p.s. I've read/heard most the extra info on the DVD, but I don't take that stuff to be the ultimate explanation to things.... I'd just like to hear other people's interpretations, or where my ideas go wrong.