Shiksa is a Yiddish word that means "non-Jewish female." It's especially used for an attractive woman who could be a "temptation" to Jewish men.
The people who use this word in conversation very rarely know its real meaning: abomination. And the people who know the meaning and use it for that meaning probably aren't the people you want to spend much time with. The two other translations I've found for shiksa are "impure" and "object of loathing." It is not only pejorative, it is intended to be offensive and cruel. It's even used in Israel like Americans would use curse words to refer to women.
So...don't say it. Kochava said so.
And if someone says it in your presence, I encourage you to tell them that it is offensive and explain the meaning of it. Nine times out of ten, they don't know the origins, and they will be better people because you've told them. You'll prevent them from hurting someone's feelings later. It is ESPECIALLY important to say something if someone says this about a female convert. Not only is she no longer "not Jewish" (so it's not even true), but calling her (or you) that word is a violation of the mitzvah of loving the convert and all the other mitzvot related to respecting converts.
There's a movement to "reclaim" the word shiksa. Most notably is the book Boy Vey!: The Shiksa's Guide to Dating Jewish Men (oy vey...) and the blog The Shiksa in the Kitchen (the author has now converted). Coming from the South, I'm familiar with the efforts of the African-American community to reclaim the N word, but this reclamation would be analogous (in my mind) to reclaiming "porch monkey" or some other irredeemably offensive term. I don't think the word shiksa can be reclaimed. [To be clear, I'm comparing the efforts to reclaim a negative word, not implying that shiksa reaches the negativity level of either of those terms. Because by any measure, it doesn't.] And if I weren't so personally offended by the term, I would laugh at the people who try to reclaim it because it would be funny to see someone do something so pointless.
The male equivalent to shiksa is "shegetz," but it isn't commonly used. I suspect that many Jews today don't even know that word. While it comes from the same linguistic source, it translates as something closer to scoundrel or my personal favorite, "varmint." It's pejorative, but doesn't have the same venom as shiksa, particularly since it's so rarely used.