Definitely female.
It just feels like she's the actual character, you know? Male is just the fun bonus.
Sakurai once said that making alternate costumes that change the character ends up taking away from the identity of the original character, and I fully agreed with him (and still surprised he changed his mind). So I'm sticking to that thought and using the default character every time.
I got two exceptions, though, Robin, because in its case there's no actual way he's "supposed" to look as he's originally a customizable character, and Ludwig, because Beethoven is awesome and I don't care about Bowser Jr. as a character in the slightest.
So yah, that means I won't be picking Alph very often, nor Male WFT. If Lucina and Dark Pit had been costumes, I would have sticked to Marth and Pit too. (I probably will anyway, but for different reasons.)