I recently went to a specialist for some of my daughter's eating issues, and she mentioned that gagging really isn't that uncommon, and that it is often more a sign of a novel sensation than a problem. My daughter sounds bad when she's gagging, but she always produces the offending item and it is over quickly - if i hear her gagging with our production or for an extended period of time then i would know that it was a different situation. In the mean time, with that advice, i've just let my daughter continue to experiment with things and she has gotten more adept at finger foods and gags less.
You may want to bring up this issue with your pediatrician and see if she has feedback for your particular baby.
So, for finger foods -
the specialist referred me to this page:
http://www.wholesomebabyfood.com/Meals.htm
One of the great ideas on there is to make little pancakes. I like this because you can make them and add some pureed vegetables or fruit.
Another idea from the specialist is to take pureed foods and then add rice cereal. Then you can make the mush as 'solid' as you like, but, it is still mush. This seems to work extremely well.
Another thing that i have done is get some teething biscuits, that are unlikely to break off, that she can gnaw on. You have to keep an eye on the kid just in case a piece does break off, because it won't dissolve so easily in their mouths. However, with this they can sit and chew for a while! (And, honestly, the upside to that aggressive gag reflex is that i know my daughter gets things out of her mouth pretty well if they feel weird.)