Don't sterilise, don't worry too much about quantities (they don't eat much to start with - maybe for a couple of months).
You can boil his water if you like, but no need. Put the cup on his tray (or the table if using a highchair with no tray, obv!) for him to play with - he might drink from it, he might throw it on the floor. No worries if he's still bfeeding on demand.
Don't worry too much about mealtimes - let him sit at the table with you when you eat. Olive oil may well make it too slippy for him - I found steamed carrot and broc were the best things - broc's good because it is easy to pick up and munch on. DS also used to love celery (doesn't now though!).
Cut the bits into chip-shaped batons so that he can pick them up in his fist and munch what's sticking out - it takes a little while for them to learn to use the pincer grasp to pick up with thumb and forefinger.
As for choking - I personally believe there's less risk if he's putting the food in his mouth himself. He may gag and retch - that's fine. Don't panic if he does - it will scare him. It's just because there's an unexpected new taste and texture in his mouth. IME, they don't move the food far back enough in their mouths until they're able to deal with swallowing it - DS had a few unexpected episodes of coughing, but no proper choking. They can do this on purees, especially ones with lumps in, as the food gets put in on a spoon and they have no control over how far into their mouth it goes.
It's not about getting straight onto a nourishing three aquare meals a day, baby-led weaning. It's more about them learning about mealtimes and that there are more tastes and textures than milk (and as you're bfeeding, he'll already have been exposed to lots of different nuances of taste through that).
As for avoiding different foods - we didn't, and I have eczema and hayfever. But it's up to you. DS didn't have meat till he was about 8mo, but he was having breadsticks and cheese earlier than that. He only had his two bottom teeth when he started eating food.
The main thing is not to stress about it - I thought DS was never going to eat much, but there are days now (he's 19mo) when I wonder if he'll stop!
Enjoy it!
HTH a bit - think I've covered most of what you asked!