To answer the first question first, no, you don't have to pick. Some people would argue that you do, or that you will eventually (after growing out of this phase), and they may be right. Then again, they may be wrong: there certainly are others who are unable to pick either one of the two primary genders. If you look around, there has been quite a bit of debate lately on these forums about just this issue: whether there is a gender identity (or several) other than 'male' and 'female'. Some people can't see it, but others consider it a good description of themselves.
The main difficulty in not conforming to either of the major genders is that the society is pretty much set on having just two choices. As a result, people who don't think about it -- and frankly, most don't need to -- assume that there are just those two options, and assign you to one of them without thinking about it too much. There's not much you can do about it: for instance, it's pretty much impossible to change your legal gender marker to 'undecided'. The best you can realistically do is to be you, not pay too much attention to others' expectations about gender roles or gender-related behaviour, and be prepared to deal with the occasional confusion this causes. It can be hard on occasion, although not in the same way (and likely not to the same extent) as a transsexual's transition, but it can also be great fun. Also, being you may eventually lead to deciding on a gender, so you might as well keep your options open.
Anyway, the bottom line is that you are the best expert on how you feel. Let others tell you what they think, but don't let them make the decisions for you. Especially if you can't make the decision yourself.
Nfr