Temporarily Anonymous, my belief is that the truth (presented gently) is always best.

Personal messages are a good idea if only one person is making the assumption. If you don't say something along the lines of "I get the impression you think I'm gay, and I'm not," then further down the road it may start to really get under your skin and you'll wind up saying something like "Hey, you [blanking] so-and-so..." (And it's possible you'll find that your assumption of the other person's assumption was wrong. Maybe not.)