I never really thought of myself as gay. In fact, I had 23 years of marriage. I had identified as bisexual, and I think that for me being bi helped me put off the need to transition for so long.
I started transitioning when I was 41.
I started exploring the concept of gender identity about 4 years ago, going through many of the boards and threads here to read what others had posted on the various topics. My understanding of my gender identity evolved from cross-dresser, to androgyne, to MTF, to genderqueer/genderfluid, back to MTF.
As for tips, that's a tough question to answer. For me, working with a therapist really helped. That, and reading the stories of others to see what "resonated" with me. Really, it seems that it should have been more obvious as I first thought I should have been a girl sometime between 5 and 7 years old.