Gags are a fine thing to use. BUt there are considerations. First off make sure that you can breath properly. The gag should in no way interfere with breathing. When gagged, a sub should never be left alone, at all, ever.
Also make sure that you have a squirt bottle for water so that you can get a drink.

You have not said what kind of gag will be used. There are differences. A common ball gag is perhaps best for starting out and as you get used to it you may wish to try other more restrictive ones.
Play smart, play safe.