Several Species of PUMAs
First are the "feminists" (by which I mean "feminist disgruntled Clinton supporters," not "all feminists" -- and mutatis mutandis for the other category names). These are voters who were primarily drawn to Clinton because they saw her as having strong, progressive positions on the issues, particularly "women's issues." They aren't sold on Obama because they think he's too centrist and doesn't care enough about fighting sexism. Clinton's gender played a mostly derivative role -- it explained why she is better on "women's issues" and gave some confidence that she'd follow through once in the White House. These folks are thus definitely not interested in voting for McCain, because he is clearly even worse than Obama on the issues (though they may occasionally fantasize about how an Obama loss would teach the Democratic Party a lesson about ignoring women's concerns). They're planning to either sit out the election or vote for a left-wing third party candidate such as Cynthia McKinney.
Second are the "moderates," the classic swing voters. These are folks whose issue positions lie in between the two major parties -- either because they think that's the objectively right policy, because their personal identity is wrapped up in proving their independent-mindedness by taking whatever happens to be the middle-of-the-road position, or because they haven't put much thought into the issues. Moderates would be up for grabs between the various candidates, but for many women Clinton's gender was the thing that tipped the balance in the primaries. They thought "I don't necessarily agree with how any of these candidates would govern, but it would be really cool, and make me feel good about my country, to see a woman in the White House." And I think this kind of affirmative action voting is a good thing if you think the candidates are otherwise close to equally good on the issues (this is why I never seriously considered supporting John Edwards -- he would have had to be much better on the issues to trump "First black/Latino/woman president"). Now that Clinton is out of the race, this group has been distributed among the truly undecided and soft supporters of Obama or McCain.
Finally there are the "double agents." These are people who are committed Republicans, but who took up the Clinton banner for strategic reasons -- to destroy Obama outright in the primaries, and/or to set themselves up to be effective concern trolls once she lost. Most of these folks probably would have voted for McCain anyway even if he was running against Clinton (either secretly in the voting booth, or after an overwrought public statement about how Clinton has betrayed them). So it's no surprise that they're solid McCain voters now. Most of the PUMAs that the media focuses on fall into this category, because their McCain support and shrill rhetoric make for better copy.
So if you want to ask, for example, how McCain's pick of Sarah Palin as VP will affect his standing among disgruntled Clinton supporters, you have to break it down. Feminists will be unswayed, because while an affirmative action vote may have some appeal when choosing between very similar candidates like Clinton vs Obama vs Edwards, Palin's vagina can't make up for her staunch opposition to abortion (among other issues where she's a doctrinaire conservative). Double agents won't be swayed because they were already committed to McCain. But it's quite likely that there will be a number of centrists -- possibly even a decisive number in a key swing state -- who are undecided between Obama and McCain on the issues and will find Palin's gender to be the small push they need to vote McCain.
(I should point out that I fall into none of these categories, though I have sympathies with the feminist position. Being an Independent I couldn't vote in the Arizona "presidential preference election," but if I could I probably would have voted for Obama.)