It depends on my case. When I played the first time, I caught and raised a Male Ralts, and when he reached his Kirlia and Gardevoir forms, I became a bit perplexed. However, that quickly went through me and I happily raised it until I restarted the game and saved it on Colloseum. It´s a Lv.100 Modest Gardevoir now.
On this recent game though, I renember skipping up two wild Ralts just because of it´s Male gender. I haven´t caught the 3rd one because apart of being a Female, it had a Lonely nature, which was a total "meh" to myself. After that, the one I caught and raised is a Lv.85 Mild Gardevoir at the moment, and funnily, all of the 3 breeding phases I´ve done with her gave a Female Ralts as result...
Enclosing this particular case, yeah, I can be a bit picky. Some Pokemon like Gardevoir I always try to get a Female one, but for most of the Pokemon I don´t care. I´m currently raising a female Shelgon, so it´s not much of an hassle since genders don´t change stats in these games.
However, when it comes to breeding, probably you might want to have female over male, because it gets easier for you to get a newborn of the same kind as the Pokemon you use. In my case, it´s evident: I use a lot Eevee and it´s evolutions, yet I can´t "produce" more because I lack a female amongst them (or a Ditto, but Dittos can´t be caught in Sapphire)...