The 33-year-old actor spoke to E! News about the movie, which will be a "semi-fictionalised" look at the life of Danish painter Einar Wegener, who later became Lili Elbe after becoming the first man to have sexual reassignment surgery in 1931.
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Eddie Redmayne is preparing to play a transgender woman in The Danish Girl
He is approaching the role with the same intensity with which he researched playing Stephen, who was diagnosed with ALS in his early 20s.
"There are many people who have written Ph.D's on Lili's story," Eddie said. "Even though it is period and under completely different circumstances than today, I'm meeting many women from the trans community and hearing their experiences."
He continued, "I have put on dresses and wigs and make-up. I'm beginning to embark on that and trying to find out who she is."
Eddie Redmayne as Professor Stephen Hawking in The Theory Of Everything
It has been an extraordinary few days for Eddie, who found out on Thursday he had been nominated for a Best Actor Oscar for his turn in The Theory Of Everything. "We're absolutely delighted and over the moon with the news," his proud mum Patricia said shortly after the announcement was made.
"I found out this afternoon and I had some champagne with some friends to celebrate. I think there are so many great actors out there at the moment, I think he had done so well to be nominated. I've spoken to him on the phone and he is just very, very excited."
Eton-educated Eddie had already been named Best Actor at the Golden Globes 2015 earlier in the week. "Oh my God, what an extraordinary thing," the overwhelmed star said, as he arrived on stage to accept his coveted trophy.