Hey! Welcome! Parrotlets are the best lil birdies ever, IMHO, but not without their special requirements.
Differences in male and female:
No bird is guaranteed to talk, but male parrotlets are more likely to speak, and to speak clearly, than females. My female, Bumble, didn't get the memo that girls "don't" talk, and she says a few words, but you kind of have to know what she's saying before she says it.
Parrotlets are sexually dimorphic; the males have a brilliant blue under their wings. So if brilliant blue under the wings is important to you, get a male.
Females are often a little less expensive, because they are less likely to talk so "less desireable." Whatever.
As far as I know, those are the main differences. There are other parrotlet owners with more experience than I, and they may or may not pipe up.
Some warnings about the little cuties: they might not be the easiest birds ever. They have big attitudes. They can be very nippy, and they can become very territorial over their cages. Bumble bites occasionally, and it hurts. So far, I think she's only drawn blood once (my sister's, not mine). When she bites too hard, I immediately put her down and look away from her. She's flighted, so she's back on my within seconds, but usually with a gentler beak. We don't have a cage territory issue - at least not yet - but it's something to be aware of. They don't know they're tiny birds (the smallest kept in captivity, as a matter of fact). For me, these facts made parrotlets more appealing, because I also have Chihuahaus and they are the same. When I read about parrotlets, I thought "Oh I know how that all works." But they're not for everyone. They also, apparently, will become untame very quickly - within days. I don't know this for a fact because Bumble has been out of her cage every single day since I brought her home. Some days only for a few minutes, because we all get busy, but every day nonetheless. If you get a baby, find a breeder who tames - not just hand feeds, who weans to chop/fresh foods, and if possible, who harness trains (I didn't know "hand fed" and "tame" weren't the same, I got lucky except for the harness training part). Don't get a baby from a pet store; they will charge you about 2x what a breeder would and won't be able to give you as much background information. If you don't want a baby, look into local rescues. There are certain to be birds there waiting, becuase of the potential behavioral problems with these little guys.
Training: first thing is to target train. Parrotlets are smart smart smart - Bumble's vet showed me how to target train and it was done in about 3 minutes. I tried again the next day, I'm not as experienced as the vet, but by the end of our 10 minute session, she had it. Once your buddy is target trained, the rest of it is easier because you can use the target to move them where you want them.
I hope this gives you some of the information you're looking for! Keep us all posted as you move forward, and once you get your bird, pictures please!!