(This is a bit geeky and long but I've done my best to make it fun) 
The theory goes that 'Y' chromosome sperm, having less genetic material, are lighter and can swim faster, whereas 'X' chromosome sperm are more resistant to the hostile acidity of the uterus, so can live longer in there.
So, if you wish to conceive a girl, you're supposed to do the deed several days before you ovulate, so all the 'boy' sperm have time to die off in their millions, and hopefully if your uterus has just the right conditions the 'girl' sperm will have survived and will be ready to create your little princess when the egg arrives. This seems kind of plausible to me, although it also sounds like a recipe for months of frustration while ttc.
If you wish to conceive a boy, you're supposed to do the deed on the day of ovulation, so that the egg is already in the fallopian tube, ready and waiting to become your little soldier, when a fast-swimming 'boy' sperm arrives. There's a problem with this however - this theory assumes that 'it only takes one sperm'. Of course only one sperm gets to fertilise it, but no sperm can bypass the outer coating of the egg until a few hundred sperm have arrived at the egg and released their 'open sesame' chemical message (this is vaguely remembered from a recent documentary. I guess the fact that only one sperm isn't enough, is a kind of trap to stop you being impregnated by someone with a low sperm count).
Imagine what an epic journey each sperm makes. From the point of view of a sperm, your uterus is like an enormous labyrinth. The chance of each sperm making it's way through and finding the egg is similar to the chance of a blind man finding something you hid in the Amazon rainforest. It's likely that half of the front-runners will go up the wrong fallopian tube! And even when the Michael Phelps sperm has arrived at the egg, it still has to wait patiently for a few hundred others to show up to help get the front door open. And some cheeky slow sperm that was in 196th place might sneak through and get the prize!!!
Can you see where I'm going with this? If sperm number 196 is as likely to win as number 1, how likely is it that it could be a supposedly slower-swimming girl sperm that caught up with the boys? The Dara Torres sperm? An ovum is only in the fallopian tube for approximately 12 hours, and the fastest and luckiest sperm are thought to take anywhere from 2-12 hours to successfully navigate to the egg (I found disagreement on this timing, from various sources). So if you do the deed on O-day then you are relying on a fast race, but even so, the fact there is such a range of possible travel times, increases the chance that girl sperms may catch up and be among the few hundred finishers. It's plausible that there could be as many girl sperm as boy sperm arriving in time! Perhaps girl sperm are observed to be slower swimmers when looked at under a microscope, but over several hours and in vivo conditions, would there really be a significant speed difference?
I tend to think not. However, it's really not something you can observe happening, so the only way to know whether the theory works is to carry out a survey of people who have tried this method. Of course, no survey is totally thorough, and there are bound to be people who are missed off, because they tried it and it failed, and they lost interest in the subject. You'd get more responses from people who it worked for.
But I strongly suspect that if you had a very thorough survey of natural sex selection, you'd find it works 50% of the time. 