Got me wondering: What's the non "harmful/hurtful" pronoun to use for someone who is asexual (probably not the right word)?
What do you mean by asexual? Do you mean transsexual? If so, the correct word is trans-male or trans-female (reflecting which gender they identify as).
http://en.wikipedia.org/wiki/Singular_they
I agree that 'they' works well in English and I continue to use it.
The answer is - whatever they tell you to. Some would prefer "they". Others wouldn't care if you use "him" or "her". Yet others prefer some invented pronoun (there's a long list).
The only one that's likely to be inappropriate is "it". Don't use that.