Oooh, exciting!
Dont' worry about mess on her clothes or you could buy one of those bibs from Target that are like and art smock.
I sit my DD in a Bumbo chair on our bench. It has the play table with it, she puts things to her mouth. Steamed heads of broccoli are good as is steamed fingers of carrot.
DD also likes bits of toast. Sometimes it's best to start after the morning feed I find, as that is when they are the most alert and happy and you can start on fingers of toast.
At the start she just sucked all the goodness out of things, now she actually swallows some things. I am doing a bit of both, BLS and purees with things such as yoghurt and stewed fruit that I give her on a spoon.
Jump into BLS forum and also have a look at Gill Rapley's website, she has alot of tips on starting and a flyer you can download on BLS.
Baby led solids is all about 'food is fun until there one' so try anything you eat, she may not eat some of it, and devour some things, that's the exciting bit about it.
Hopefully someone from the BLS forum will jump in and give you more professional advice
Just enjoy, she will get there, one day she will just start putting things in her mouth and not look back