I think that is perfectly normal, to be scared about moving to the next stage. I was very hesitant too, and like most things, I had nothing to worry about. Gagging is a really good thing as it shows your bub can clear her own throat. My DD does it now for attention as I use to always make a bit of a fuss when she actually gagged for real. Cheeky little sod - lol.
Have you been shown the couple of procedures to clear a choking babies throat? It might be worth getting your GP or CHN to show you next time you visit. I did a baby first aid course and it gave me a lot of confidence to deal with choking, although, its never actually happened.
So do you give your baby any finger food yet? Just asking, as there is a few simple things you can do to build your confidence in your DD's ability. I didnt' want to blab on (like usual) if your already doing it.
Don't feel alone and don't feel pressured - its a huge step for you as a mummy.
DD is 3yr 8 months - DS is 6 months