As a female G., I just thought I would chime in with my 2 cents worth...
To address some of the previous posters' "fears":
1) I, as a child, never experienced any malicious teasing solely on the basis of my name. My close friends called me "Gracie," but everyone else called me "G.." The only alteration on my name I have ever experienced is when a boy in junior high called me "Gray-daughter" as a misguided flirtation.
2) I never had any problems learning to write or spell my name. I am sure kids with more socially accepted names like Samantha, Elizabeth, and Victoria would be more likely to struggle because of the length and letter structure. For what it is worth, my 4 year old (Owen) can easily write and spell his name while classmate Elle cannot.
3) I have and still do receive mail for Mr. G.. I also received a draft registration reminder when I turned 18. So, yes, it is assumed quite a bit that I am male.
4) The traditional meaning of the name is "Judge's son." But, I honestly have never cared. The name "Claudia" means "lame/crippled" and "Mary" means "bitter," but that has not drastically affected popularity or name choice. Oh, and the usability of "Madison" for a girl has not plummeted because of the -son ending.
Now, that I have gotten those issues addressed, I do think that the name you choose will depend on what characteristics you desire.
McKenzie - a popular, mainstream name that will probably have to be spelled aloud in many situations and that might warrant your last initial being attached as an identifier (i.e.: McKenzie A., please give this paper to MacKenzye B.).
Greyson - an uncommon name, typically used as a surname but will be mistaken as a boy's name in many social situations
To sum it up, I am particularly partial to using Greyson, although I think it looks a tad bit more feminine with an -a instead of an -e. I hope you will pick the name that feels best to you and your partner. :) Good luck with your little one!