If these are budgies, yes - it is very difficult to sex them when they are babies. An experienced breeder can usually sex them for you, but even then they may make a mistake. Sexing is done by looking at the cere (the part just above the beak). In babies, the colour is usually a pink or blue in males & a white or blue in females. When they are older, the cere on a male will be blue or purple & on a female will be brown. For both, the colour will vary according to the season.
Other types of parakeets will have different ways of sexing them - some of them have actual colour differences in the feathers once they mature.