I always try to play as girls, or at least give them position as my secondary character (Tira in SC, Asuka/Alisa in Tekken). I also mained Juri in SF or Millia in GG. My friend always says that you need to identify with the character, and the guy should play as guy, otherwise probably he have problems with gender identity.
But I say "screw you!". I'm a guy, there is naturally that I like women, and then I defeat his Rock by my Amy.