Assume you are cycling your tank right now? If not, it's important to read up on how to cycle (There are articles on this site.) so you are doing all the right things to prevent an inevitable catastrophe.
If all is well with water parameters and you are certain you are cycling or cycled, I would consider the following:
1. Make sure the female is actually a female and not a male.
2. Add other female platies to the group so the chasing is dispersed and one fish doesn't bear the brunt of it.
3. Add plants and other cover to give places to hide and interesting things to do.
4. Monitor the fish for health/signs of stress. Occasionally fish need to be separated, but that's rare with platies, and simply adding another fish or two should do the trick. Unless a single fish is being harassed to the point of distress, it's not necessarily a problem.
5. Any reason is always a great reason to upgrade!