I have encouraged William to be an active eater from the first bite of pureed and thinned-out-with-breastmilk avocado. Instead of putting the spoon into his mouth, I help him guide it in with his own hand. Now, at age 9 months, William can put the spoon into his mouth independently, and sometimes will hand it back to me or place it on the tray for me. (That is "sometimes" because he is 9 months old, and seems to instinctively need to drop things on the floor while seated in his highchair, spoons included!)
I began offering William "finger-foods" around the age of seven and a half months, about 6 weeks after starting pureed and mashed foods. He was at a point where he was ready for more texture, and was very interested in touching his food. While this can get very messy, it is a great thing to encourage! The more a baby explores the properties of foods (temperature, feel, smell, taste, etc) with all of his various senses (first sight, then smell, then touch, then taste), the more familiar and comfortable he becomes with food in general.
You will want to start with foods cut into small bits, but the challenge is not making them too small for baby to pick up! I found that when I pushed beyond my comfort level, William surprised me with what he could handle, both in size and texture. I find that cooking the food first, and then cutting into appropriate sized bites works best. Start with all skins removed.
Below are some easy to prepare beginner finger foods:
(microwaved) sweet potato
steamed butternut squash
Here are some finger foods with more challenging textures and flavors:
canned beans (cannelini, garbanzo, pinto, etc.), squashed so that skin pops
steamed green beans
steamed baby spinach leaves (or any greens), crumpled into balls
brown rice cakes (no salt), such as Lundberg Eco-Farmed Brown Rice Cake, Salt Free, 8.5-Ounce Units (Pack of 12)
crumbled cracker pieces (I've tried Ryvita Whole Grain Rye Crispbread, Dark Rye, 8.8-Ounce Boxes (Pack of 10))
Kamut puffs (I found Nature's Path Organic Kamut Puffs Cereal, 6-Ounce Bags (Pack of 12) at my local Whole Foods)