Yikes on those suggestions from other people!!!!!!!!
I would say that you could certainly talk to him and explain you want him to be 'gentle' as that's a good word to develop. I would phrase in a positive, 'be gentle'.
However I think the best thing is to keep that finger ready as suggested and just take him off straight away. He is obviously very young to make an association but it will protect you!
BTW, Sam experimented with a bit of tugging pre-teeth but after almost 22 months of nursing I have never been bitten. Once or twice his teeth left indentation marks but he has never bitten me so don't feel that this is going to continue.
Your LO is just learning all these fantastic new skills. It must be so exciting. Would he enjoy a little tug of war with a muslin cloth?