We went straight on to three meals per day, I had no choice as DS was demanding food and it was the only way to stop him moaning and crying (I kept offering milk and he hit it away and cried harder!), however each 'meal' was limited to one or two different types of food. This was more to do with not wanting to overwhelm him with choices rather than looking for allergies. I did find at the start he couldn't cope with lots of items on his tray at once even though he took to BLW so brilliantly.
Gagging - ha will it ever stop? He's approaching 11 months now and still gags and still doesn't care that he's doing it. He used to eat a prune so daintily, gumming bits off until the whole thing gradually disappeared, he knew what he could cope with I suppose, now though he is bigger and more confident so just rams the whole thing in his mouth gives it a bit of a whizz around his teeth and swallows it whole, gags and brings it all back out then eats it again! Not the best table manners to be honest. He will even be gagging on something whilst simultaneously trying to get the next piece of food in his mouth. If gagging doesn't both him then it doesn't bother me.
The scariest moments for me have been once when I found him chewing on some random bit of plastic (it was from a board book with a push down music button!) and had to fish it out of his mouth (not to be attempted unless absolutely necessary as this in itself can cause choking!) and once when I found him playing right next to a button that had fallen from his cardigan. Luckily I found the button before he did. I went cold with the thought of what could have happened. Food wise he gags and occasionally voms back up something that he's swallowed in one massive piece, but I have total confidence in his eating abilities.
Moon shapes are good for picking up. ie avocado halved, stone removed then cut into half discs, it makes a nice shape for picking up. Fleshy fruit in wedges is tricky at the start as it's so slippery, a slight squish to indent part of it (not mush it) will give LO somewhere to grip onto and make it a bit easier.
When you start don't be surprised by increased milk intake (say asking for another milk feed straight after solids), or some sleep disruption, or constipation. The thread on laxative foods is worth a browse, you can monitor your LOs poop and feed the necessary food item to firm it up or loosen it a little without the need for meds, much nicer.