As a woman who's character roster is mostly comprised of males, I feel I must make it clear that playing the opposite gender does not require any more practice or skill than it takes to play as a character who shares your gender. I don't play my character Dumisa solely as a "male", but as Dumisa himself; the fact that he is male is only a small part of who he is. Above all other things, he is simply a character all his own with his own flaws and perks, and the fact that he is male while I am not does not complicate my roleplaying experience at all.
I honestly believe one of the main reasons we think that it's strange for a guy to play as a gal and vice versa is because we tend to fall into the old trap of stereotyping. Characters are not restricted to certain traits/behaviors simply by the pronoun we refer to them by; they come in all sorts. With that, I say that the steps to playing the opposite gender are little more than as follows:
1. Play as a character
2. That happens to be the opposite gender
So go ahead and cross-gender RP! It's nothing to be ashamed of, it's nothing to worry about and you can tell anyone who brings your identity into question because of it to go wear oversized, itchy socks. :3