using "gender" and "sex" interchangeably: which is more correct?

To me, both sound a little clinical for that context.
Do you know if you're having a girl, or a boy?
is what I usually retreat to in that context.

In other contexts, such as questionnaires, I prefer gender.

I remember the old joke:
"Mommy, what is sex?"
After a long and careful age-appropriate explanation, mommy remarks that her child looks very distressed. She asks, "What's wrong? Is there something you don't understand?"
"I don't understand how I fit all that in this little box on my permission slip."

CaliAli said:

I have so many pregnant friends! Which phrase is more correct?

Do you know the gender of your baby?
or
Do you know the sex of your baby?

Seems to me that gender is more related to language while sex relates to whether an individual (cat, squirrel, human) is male or female. I think people have changed the meaning of gender to avoid confusion about what the use of the word sex would mean.