In the UK we have a range called ORGANIZ that make finger foods, my DS loves them. He is MSPI and I am keeping him off all gluten, not just oats so I know the difficulties. Lots of the Organix do have cheese so those are out but there are 3 or 4 that are milk, soy, gluten free.
http://www.organix.com/Our-Foods/Food-For-Babies/Finger-FoodsThe three along the left are fine - milk, soy, gluten free - the carrots sticks, tomato slices and crunchy rings. DS goes NUTSO over them. Have helped him with finger coordination and learning to chew as well, but they are great because in the end, they really do just melt in their mouths. Organix do a line of rice cakes that are fine also.
Other than that, our finger foods are sweet potato fries (chop a sw pot into french fry like sticks, rub a dab of oil around them, wrap in a foil packet and pop in the oven for about 10-12 minutes. Let cool and presto! We also do squash cubes the same way (take longer to cook though and sometimes I boil them a couple of minutes first to start them up).
I make "The Famous Sausage Recipe" in the Recipes board here (Annabel Karmel's chicken balls if you have one of her cookbooks) and they are great finger foods. Also make mini hamburgers, which I mix a few spoonfuls of applesauce (homemade) into the meat before making the burgers to soften it up a bit and add some taste.
I have been making millet pancakes as well - a lovely suggestion by Bethany (Peek-a-Boo) but I just wing it when it comes to the recipe and the past two times it hasn't worked out

so I need to get a proper recipe before I share. They are super for fingers, I make them about 2" in diameter and DS can pick them up and bite them off, and get pieces in his mouth.
Slices of pear, banana and zucchini (courgette) are good finger foods as well, and go down well here.
One thing I find with finger foods is that I always say "Wow, you ate very well today!" and then pick DS up out of his highchair and find 75% of it in his chair

If I think of any others I will let you know!