Yep, you need to relax and give it a go. Rice cakes with spreads, chunks of banana, melon slices, roast veggies, anything healthy that you eat really. Crunchy stuff is nice for her if she is teething so you are doing the right thing with cucumber.
It is also worth remembering the difference between gagging and choking. Babies have a naturally strong and forward gag reflex so, left to their own devices (ans assuming you don't give them something silly like whole grapes) they will cough up anything that starts to 'go down the wrong way'. If they cough and make a noise, that is gagging, NOT choking - let baby get on with it, closely supervised, of course. Don't do what my batty MIL did once and hold my DS upside down, scaring everyone silly, including DS.
Choking OTOH - although very, very unlikely - is silent because the airway is completely blocked and the main symptom is baby turning blue. If this occurs then you do need to act, as per your first aid course. To repeat though, if your baby is sat up with food and not allowed to crawl around with it then it is very very unlikely your DD will choke. Very unlikely. [Deep breath, relax and repeat - very unlikely....]
Personally, I am from the BLW camp - my DS went straight onto finger foods at 6mo, never had any purees and eats everything now. But, as purpletrees has testified, it is clearly possible to achieve the same result with purees (albeit with a bit more work for you!).