Covariates in machine learning classificatoin I would like to classify a number of people as sick and healthy. I have all the body measures as features. I have to control for age and sex because body features are affected by that. How do I adjust for age and sex?
Should I just add all the variables including age and sex as variables and try to classify? Or, should I do something else?
As a classification task, you should add age and sex as features to your classifier in addition to your body measures. This will incorporate to be considered when learning or making a prediction. 
So your first option would be reasonable.