And I don't believe it is a right thing to do

to report this to a superior or HR at _current stage_. If she doesn't stop _after_ you have explicitly told her to, then that would be another story.

At _current stage_, she could easily argue that she just made a bad joke but nothing intentionally bad.

Reporting to your or her superior or corporate HR is your last resource after you have exhausted others more readily available.

I know that her comments are inappropriate and irk you, but IMO, they are not serious enough for me to suggest you even use emails to formally communicate with her.

Once my wife's (male, not that made a difference)collegue made an inappropriate comment about my wife's dress in public, my wife wrote a formal email to him and CC her boss and his boss...that made this stupid guy apologizing to my wife right away. Emails are powerful in this country as they serve the purpose of being _documented_.

In short, you need to make all the judgement calls and see what type of fist you are going to serve at an office fight that not only deems appropriate but also knocks the offender down without any reservation.