I'm sorry but Dante is still wearing his same coat he always wears. The thing is, the coat from the classic outfit had an alpha layer which was used. Using that same alpha layer you can make certain textures, like the bottom part of his coat, invisible.
So no, there's still no method on how to...
Why would you wanna be a woman? Just kidding :D, but no, there's no possible way to make Dante a woman or make someone else playable at the moment. Maybe in the near future someone finds out how to do this.
If you need some more explanation:
You need to download textmod. It was in the post with the tutorial that Konkorfour wrote: http://devilmaycry.org/community/threads/how-to-create-and-use-textures-with-texmod.14336/
After you have download that, start it up.
-First thing you have to do is...