Well there have been those times when 3P0 and R2 were off together...alone...getting oil baths...and...going down to maintenance...
Seriously I never pictured R2 as a female robot. I can't say I've ever really thought about robot sexes until now. 3P0 does always say he, but we tend to not personalize machines all that much.
Then again HAL did have a sister unit in the book...