Write them however you want.
We just made that female tag since some people were asking specifically for stories where you play as a leg shaver and we're really inclusive around here.
I guess here's an important difference.
Zombie girls are better at going through the motions of sex than male zombies, the reasons for this are obvious. Male zombies have no blood flow so well they ain't gonna be able to perform the way a living dude can. Equipment just doesn't work and they'll be lucky enough if their balls aren't rotted off.
Now that being said, that doesn't mean the male zombie won't still TRY. He's still a guy after all and has the same desires as most males have for the female form.
Even if he can somehow get it working (perhaps with the help of an enthusiastic female Necromancer) he's still just not going to feel the same sensations and will be shooting blanks.
The female zombies can't feel any pleasure (or pain) either, but again they can always fake it better by moaning at the appropriate times. (So just like living females actually)
Basically you want to establish a boob size and mention it as often as possible. Also make them lesbians. No reason.
Also, and this is the most important one: No matter what anyone else tells you, female characters have vaginas.
It's Red Sonja, so pretty much standard for her.
The cloak is keeping her from freezing obviously.