hi littlepiggie.
a lot of people start with things like carrot, which was the second food we tried (if you look in the finger foods section of the blog you will see the whole, undoubtedly tedious, story ).
however, the first food DD tried was a peach, because i was eating it and she grabbed it (also detailed in glorious technicolour in finger foods section...). and you know, the more i think about it, the more i think that was a real stroke of luck...
so if i was doing it again i wonder if what i would do would be to wait til 6 months, sit baby on lap and then eat delicious, soft things like peach or banana or nectarine or whatever, and see if the baby makes a move for it. because i have definitely observed with my dd that if she appears to be losing interest in a particular food on her highchair table and i eat it, her interest is once again piqued.
i don't think it really matters what you start with, but if it isn't fruit then i would advise steaming it until it is really quite soft. they really don't eat much to begin with, so you're just trying to let them get their head round the fact that at some point they will stop smuching it into their faces and actually start swallowing.
good luck, BLW is a total laugh, my dd loves it when we all eat together (not that i'm one for a steamed carrot, you understand. bleh).
and try not to freak out about the gagging. in fact, go on an infant resus class at your local hospital if you can so you will feel lovely and confident about everything gag-tastic.