That is what I have been hearing. French police confirmed he arrived there on the weekend, and the Ottawa Sun had a sketch of him as a woman on their cover, so it sounds like that is exactly what is going on.
http://www.ottawasun.com/2012/06/01/...ing-as-a-woman
EDIT: Okay, it seems it's not confirmed that he is travelling as a woman, but it seems he could very easily pass for a woman, and that's why many seem to think it is likely.