Baby-led weaning (BLW) has not been shown to increase choking risk compared to traditional spoon-feeding [1]. Observational research indicates that 13.6% of infants ever experience choking, regardless of weaning method, however, this is derived from self-reported data [2]. (Read about the difference between choking and gagging here).

References
[1] Fangupo, L. J., Heath, A. M., Williams, S. M., Erickson Williams, L. W., Morison, B. J., Fleming, E. A., Taylor, B. J., Wheeler, B. J., & Taylor, R. W. (2016). A Baby-Led Approach to Eating Solids and Risk of Choking. Pediatrics, 138(4), e20160772. https://doi.org/10.1542/peds.2016-0772
[2] Brown A. (2018). No difference in self-reported frequency of choking between infants introduced to solid foods using a baby-led weaning or traditional spoon-feeding approach. Journal of human nutrition and dietetics : the official journal of the British Dietetic Association, 31(4), 496–504. https://doi.org/10.1111/jhn.12528