Look on youtube using the search term "BLW gagging" - there are various videos of babies eating foods, gagging, and being perfectly fine. It's much less scary to watch when you know they're going to be okay, and gives you a frame of reference which is "This is what gagging looks like". (Choking is very different - it's silent for a start. That's why you should never leave them unattended to eat)
There is a big difference between gagging and choking. In babies their gag reflex is really far forward - about halfway down their tongue rather than right at the back of it. As long as they are sitting upright, if they are gagging, they will spit everything out. Gagging is actually a defence against choking - they have to learn to chew the food before moving it to the back of their mouths. If you are scooping it out for them you're probably actually making it more dangerous, because you could push the food back further to where they haven't worked out how to deal with it yet. Also, you should let them pick things up themselves rather than holding things to their mouths for them, even if they are finding this frustrating.
You can get mesh feeders which are supposed to keep foods safe but I read somewhere that they are a bad idea because they don't encourage children to go through this natural process of learning to chew - they sort of "drink" the food through the mesh and then when they are presented with an actual stick of soft fruit or veg etc, they tend to suck it rather than chew it, which could lead to them sucking the whole thing into their mouth at once!
Any food is good as a finger food - sticks of boiled or roasted veg are great, soft fruits. Slices of apple are not that great, because chunks can easily break off - slivers are okay, or grated, or whole apples (if they have teeth) or just steam them for a bit first. Toast is better than bread as bread can get stuck in the roof of their mouths. Avoid whole nuts, whole grapes etc. And no honey until they are 1 year (even cooked).