Personally, I call them a woman and will distinguish them as it mainly cause it's a matter of gender identity. They themselves distinguish themselves as female or male though they're "stuck/trap" in the opposite gender body of which they are.
Personally, I have a really really strong point on this because it is part of me.
This is just a link on transgender and transexual information for those that are interested.
Lynn Conway's Site
Also note, it really isn't what they want, it's who they are...
Those that aren't actually transgender will end up suffering if they actually go through SRS (Sex Reassignment Surgery, the name is kind of misleading but you get the point) because it isn't their mindset.