Can I change the gender of an imported character?

If I played through the first two games as male, can I switch my imported characters gender to a female, and vice versa?

No, your imported Shepard cannot change their gender when you import them. Other factors you cannot change upon import include their Pre-Service History (Spacer/Earthborn/Colonist) and Psychological Profile (Sole Survivor/War Hero/Ruthless).

You can make cosmetic changes to your appearance though, minus the gender change.

It is not officially possible to change gender. One important aspect of that is that your romance options change depending on your gender, by changing your gender you would be able to mess that part up, by having an older save with invalid romance options.

You could try out the innofficial ME2 savegame editor, but I suspect that you have to be very careful in adjusting the romance options to not completely mess up the save and cause glitches later.