Trying to tell the sexes apart in sea stars with a cursory visual inspection is nearly impossible. As luck would have it, though, sea stars are found in sex ratios of nearly 1:1. As a result, the chances of acquiring both sexes are pretty good, especially if you obtain a small group rather than a single specimen.
One of the more accurate methods in sexing most sea stars is by piercing the body wall with a needle and syringe and extracting some gonadal tissue; this tissue is viewed under a microscope to determine if it came from a male or female individual, provided gametes are present at the time of viewing.
Spawning and the release of gametes into the water column by broadcast-spawning species can tip the aquarist off as to the sex of his or her sea stars. Certain behaviors, such as a pinwheel posture, are often indicative of a brooding female protecting her young. Behavioral clues as to sex are something to keep an eye out for.
Unless you are really trying to reproduce sea stars in aquaria (a difficult exercise at best), sexing your sea stars is really immaterial to enjoying them.