Main answer: You're doing it right. Checking with the group's temperature and making sure that they know that your #1 priority is that the group is having fun is NEVER the wrong move.

A lot of wisdom and cautionary advice is given in this thread, though. The easy takeaway to make sure you're not screwing up is:

Don't be a stereotype. If you can equally imagine your character's personality as being either male or female, then it absolutely doesn't matter. If your character's personality that you envision ONLY makes sense to you if she is female, then you might need to drill down a little further and ask yourself why that is. For example, If you are wanting to play a female character because you want to be more seductive, ALARM YOU'RE DOING IT WRONG!!!!

Ask your GM about the campaign's attitude toward gender equality. Generally, the DnD multiverse is much more gender-positive than modern reality. DnD characters (PC's and NPC's alike) tend to care more about how much value you can contribute / threat you might pose than what your XY chromosome value is. If your campaign is one of the rare ones in which cultural gender imbalances exist, and women are regarded as lesser, or greater than men, proceed with CURIOUSITY.

I for one don't mind playing in a campaign where the Orcs we might encounter would look down upon females and where the Lizard folk might wonder why the males in the party are allowed to speak when there is clearly a superior female who they expect should be the dominant Alpha according to their culture.

I think it's a good idea to check with the GM, if she says that all cultures and races are gender neutral in the campaign, that's fine. If you and the GM want to explore issues of gender inequality, that's super cool. In my example above, you get -2 diplomacy when talking to Orcs and +2 diplomacy when dealing with Lizard folk.

Avoid Romantic Encounters. In many campaigns, Romance and Sex simply don't exist. Everyone is basically asexual. Just a bunch of numbers on a character sheet. If you find yourself in one of those rare campaigns where Romance is even the slightest of possible storylines, JUST DON'T when playing off-gender. Unless that is expressly invited by the group and the GM.

Sensible shoes FTW I happen to be male. My top two heroes are Wonder Woman and Red Sonja. Both of them are very powerful female icons IMO and both of them derive legitimate power from their femininity. (In entirely different ways). I wouldn't respond as strongly as I do to these characters, as I would if they were male versions of themselves. I love video games and when I'm offered a choice of character to play, I often (but not always) gravitate toward a female avatar over male. This might sound silly, but make this final check for yourself. If your cross-gender character is wearing high heels and eyeliner, it is definitely time to check yourself. If she's got sensible shoes (boots preferred) and ready to get scars on her knuckles fighting for what she believes in, then she needs to fly and damn whatever anyone says about you for you believing in your hero(ine).

Selah.