Definitely give some finger food
We spoon feed and BLW in this house, although I tend to think of it all as baby-led because I'm not force-feeding him at any point like the book suggests happens when you spoon-feed!
Stuff that I could eat with my hands he gets as is and feeds himself (pasta, fish fingers, toast, crumpets, pizza, chunks of meat, roasted veggies) but anything I'd always choose to eat with cutlery (fish pie, soup, cottage pie, yoghurt, porridge, cous cous etc) he has on a spoon.
Babies do gag pretty easily but generally speaking the offending bit of food reappears after a couple of seconds. If you go in hoiking out anything they could choke on, they'll never learn to deal with anything lumpy.