I've only had menial jobs, no cover letters or that sorta stuff needed. But I've never told unless I had to. Because of the hell I went through at Toys R Us, there 7 years, damn good at my job (hey, I got a keychain out of it! woo-hoo!), Heck I was getting 2 raises average per year, started at $5 and hour (which was minimum wage back in '94) and when up to $10.25 (by 2001 - most I ever made in any of my jobs, pay went down pretty much as the years gone by) then treated inhumanly once I came out that I was transsexual. I ended up having to quit it got so bad. I still amaze myself at my courage to go out there and be me, just wish I had enough to stand up for myself. Of coarse, with your case they simply either hire you or not (making up another excuse why they won't if they don't, probably). If they do hire you then they most likely won't have a problem with it, though certain individuals within the company may (depending on who and how many know - this, because all people are different, can always be an issue anywhere).
Worked at a floral shop (only job where I was able to dress up pretty every day, that I miss), an off the wall video rental place for a while until it closed down and I'm confident that not a single person knew. When I worked at Kohls, no one knew right away, but when time for W2's I heard question about it from one of the managers to my brother whom also worked there for a while, he told that manager to ask me about it (he didn't), though each night was the same as usual after that so apparently it wasn't a problem. The job I had in North Carolina, they didn't know right away, not until they saw my I.D. better, noticing the 'M' after they said I was hired. The store manager (I'm pretty sure all of the managers knew, but not any of my coworkers) just asked me if there'd be any problems, his concern was with using the bathroom, I reassured him there wouldn't be. I was there a few years and was treated fairly by everyone.
The job I currently work at, I have no idea whether the manager knows or not, she put me down as female when filling in some of my info into the computer (I purposely never check off the sex part on applications, letting them decide for me) when I was hired. In less than two months I will have been there for a year, so far I haven't seen sign that anyone is treating me differently than any other female would be. I go to work, do my job, and they are glad to have me. I don't know what anyone's reactions would be like if they found out I was transsexual, but I don't think it could go as bad as Toys R Us was. While work places aren't supposed to discriminate, the individual within the workplace can and will if they are able, one person can make it down right awful, especially if its management (they'll find a legitimate reason to force you out).
But you coming out ahead of time, even though it could cause you not to get the job (they'd simply find another candidate), I think its better for you. If they don't have issues with it, then you know that everything will be okay, afterall they aren't going to hire you if they do. I think its a plus doing what you are doing because no surprises, everything's out in the open, you'll be treated fairly. These are my thoughts on it, but I've never been one for knowing how to make the right choices.