Are we talking just playing or portraying yourself as a female? Portraying is wrong as you will end up with problems as people build relationships on what they thought was the truth only to be betrayed and violated when the truth comes out. Especially as a Christian one has to try to present oneself honestly as the unsaved are looking for any reason to reject you and thus Christianity, affirming their secular beliefs in the process. Just playing a female
seems perfectly fine but the problem is even if you are just playing a female character some people will still assume you are one unless you put up a huge warning somehow. This is especially true if it is known you are a Christian which tends to make some think you would represent yourself truthfully at all times (a mmorpg is kinda a "roleplaying" game though people XD ). On the other hand some people don't view themselves as their character but the character as a "pet" disassociating themselves with it. So for one to assume your character is supposed to represent you in any fashion is somewhat biased.
As far as reasons for playing a female character there are some good ones. In lots of mmos the male characters are uglier or as a guy who wants to stare at another guy for hours. It's perfectly possible you simply find women prettier to look at than men with nothing lewd going on (though one should guard against lust even if she is polygons).
I myself for the first time considered playing a female character in FF as the Miqo'te race only has females, that and catgirls are more kawaii than cat guys

! Still I'd have much preferred to play a cat-guy and as there is no option I didn't try the game at all. If I had played a female character I'd have probably done so with a name like "Imma Dude" to prevent any confusion

. Thing is I couldn't use "Gerbil" then (which I do in all my games so people will recognize me) and it still leaves itself open to people thinking you are a cross dressing pervert, also not good if you want to represent Christianity XD .
Though it would have been hilarious to find fishermen out in the field as a catgirl and run around them in circles typing "fish, fish, fish, MEOW

!". So I guess the options for roleplaying comedy are what attract to me playing a catgirl

.
I'd definitely pray about it, decide what your motivations are for playing one are and if the potential for social problems are worth the risk of playing one.
I'd personally have no problem playing with a Christian guy using a female character as long as he represented himself honestly to people, I just wouldn't stand too close <just kidding you on the last part

>.
Note there is another thread on the forums that asked why guys play a female character
http://www.cgalliance.org/forums/showthread.php?t=13605&highlight=female+character .