Shells,
It is unlikely your lo will choke as all feeding should be under your close supervision. If she gets a piece which is too lumpy, she may cough a little, but that is a perfectly normal reaction for all of us when something "goes down the wrong way". at worst, you may need to help her with a little pat on the back.
My lo is 7 months and happily on lumps (in fact tonight I was at my in-laws and just shredded a little chicken and mixed with whole cooked beans and some fork-mashed roast potatoes and pumpkin). My lo started solids at 4 months and I just made sure that he was used to getting lumps from the start, usually just left a couple of lumpy bits in his mashed banana, tried whole oat porridge (lumpier than oatmeal) etc. They will get used to it, same as they get used to taking pureed solids and organising the tongue thrusting thing. Oh, and don't worry about no teeth - they have enough gum to effectively mush the food in their mouths.
Re finger foods, you want to start with things which won't crumb or break. For example, a torn-off piece of bread, a stick of cheese, a cooked carrot baton. Avoid toast and uncooked carrots, etc which can break into small bits and risk choking. But anything which is already soggy or can be made soggy with their sucking is great as a finger food. I will soon be introducing small crust-free sandwhiches and pieces of soft fruit as finger foods.
