Same here, around the age of 3, when I became aware of a lot of things. My parents told me I used to call myself and act like a boy before that, though (me being an FTM). Hard to imagine, but I guess you establish a gender role the minute you become self-aware in general.
My parents thought I was a 'spirited child' (just a rotten apple, basically) because I'd cut my hair to an inch's length from kindergarten onward, chased girls, hated 'dressing nice', and of course did other things that either gender would do. Such as cutting pictures out of books or letting glue dry all over my desk. I'm not sure if I never made friends because of GID or not, but that added to the 'spirited child' theory.
I found that miserable scenarios really got me to face who I was. It was when I was lying to my parents and flunking out of school that I got my first girlfriend; it was when my dad went to jail and I stuck it out at this ghetto school that I found out I was transsexual. Like hitting your head in the shower; pain brought out who I really was, in many respects. I'd been acting androgynous until the age of 13, then acted purposely more masculine around age 16, after I shaved my head and saw how great I looked with less hair. Not good-looking, but closer to that vision in my head. Not many people look good with shaved heads...