It depends on the context they're asking it as. If it's for a "preferred name" and you prefer to go by your female name then put it down.
If it's for checking records (e.g. a job application) then your issues will probably be AFTER you change your name (when some of them may be under your old name). For jobs typically if anything they may want to check may be under another name (whether it be a former legal name, an alias, a nickname, etc.) you'll have to put down any applicable names if they ask. If you want to remain stealth to an employer that will probably be possible only if you can get all of your relevant educational records changed over, notify every employer they ask you to list on the application of your new name and acknowledge it, and have NO criminal history under your former name or other pre-transition aliases. Here for "cover" I suggest putting down something like "none that any relevant records would be under" so they can't be picky about an irrelevant omission if you're one of the lucky ones; based on some past cases the only "other names" an employer needs to know (except in cases where they can ask other questions that normally aren't allowed such as for a security clearance) are those which records they want to check are under or those needed to properly contact references (formed from other non-TS cases like a religious name or an immigrant changing his/her name to assimilate). Unfortunately, for TSs unless they transition young enough or have cooperation from all their past schools and employers (and haven't committed any crimes before their name change) they will most likely have to out themselves if the employer wants to do a background check on those records (which most do these days).