I did at first. I was concerned it would be obvious that it was a man writing as a woman. I was also afraid that I'd get the love scenes all wrong. So, yes: at first I was a little nervous about it. That didn't last very long. I found out that it wasn't any different from writing for any other character who was different than me, all I had to do was step into their mind and try to see things from their point of view. Not how I would see it if I were in their situation, but rather how I would see it if I were them in their situation.
Incidentally, I've found doing this doesn't just make me a better writer, but also a better person. One of the biggest mistakes anyone can make in dealing with other people is to think they see things the same way as you...or that they should. Right or wrong, people see things differently based on a lot of things. Highly motivated, self-starter types who can handle risk don't understand people who play things safe and put up with a horrible situation out of fear of change, and vice versa.
Also, talking to women helps. I learned a long time ago that women like it when guys take an interest in what they have to say, not just in their bodies. And most women are open to questions from men, if for no other reason than it educates at least some part of the male population about what women want and think.