Raised as pets, I haven't noticed males being more affectionate than females (licking more), but I have found that females like to give manicures. They like to clean under your nails, loose pieces of skin, even trim nails. Males will do this too, but my females are obsessive about this.

They can get a little rough and I just give them a high pitched noise and pull my hand back. They'll learn that they don't get to do what they want if they are rough about it. It works the same way as them cleaning their babies. First time moms will be rough about it, but the babies squeak to let them know that they are hurting them.