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Do I say "he" or "she" when addressing a trans person?
Ask them what they prefer. Usually a MTF (male-to-female) person will want to be referred to as "she" once their transition to female is complete, and vice versa with FTM.
Before Caitlyn Jenner was introduced to the world (by Annie Leibovitz, no less), and was still going by the name Bruce, she was still referring to herself as he.
Don't assume you know at what stage of transitioning a person is, and how they are identifying themselves, and never, ever, refer to them as "it". Asking is not just polite - it tells a trans person you are respectful of their journey.
Is it offensive to use the word "tranny"?
The LGBT community is divided on the use of the word "tranny". Drag queen RuPaul believes words are only as hurtful as you let them, and "tranny" can even strengthen one's identity. Others consider it a slur - something damaging and not nearly as throwaway as those who use it as verbal abuse think it is.
Unless you are trans yourself, I argue it is offensive to say tranny. There's a lot of academic (and pseudo-academic) literature out there about reclamation of hurtful words such as "fag". But when I hear the word fag, I think of the hundreds, if not thousands, of times it was (and still is) hurled at me from moving cars.
While some of us are strong enough not to let words hurt, for others it'll trigger memories from our past that do nothing but get us down. Why use the word tranny (or fag, for that matter), if you don't know your audience? Leave the slang to those who self-identify with it.
Are trans people gay?
Again, it depends on the individual. The Golden Globe winning TV show Transparent depicted a 70-something family man's journey towards transitioning to female. The principal character, Maura, continued to prefer females. Technically, this makes her gay. Likewise, if a woman transitions to male and is attracted to females, technically, this actually makes him straight.
Trans people can be heterosexual, homosexual, bisexual, or asexual. Just as non-transgender people can be.
How can I be supportive of trans family members, colleagues, friends, or people in the community?
Primarily, it is important to understand there is no single way of looking at the transgender identity. There is no one way to look at - or to be - trans.
Don't make any assumptions about a trans person's sexual orientation, their desire for medical/hormonal treatment to transition, or any of the transitioning plans.
Use the name and pronoun a trans person has requested they be addressed by. Be aware of your attitudes and prior knowledge concerning trans people, and be open to changing them. Keep the lines of communication open and supportive (as Caitlyn's family have done, based on the sentiment of today's Tweets).
Don't forget to seek support for your own feelings. Mental health professionals are available to help the spouses, family members, and friends of trans people too. We must not forget that they, too, are on a journey.