When did you introduce finger foods?
I introduced finger foods when Ruth showed me she was ready by picking stuff up with her fingers.
Caden is a very messy eater -- loves to sticks hand and toes in his mouth while he's eating - lol.
I am making his baby food right now and I make it thicker than the stuff in stores.
"should I let him be as messy as he wants?"
A THOUSAND times YES! This IS the shortcut to their learning how to feed themselves. I promise, letting him go for it will advance his eating skills AND his fine motor skills. Plus, IMO, it will give him positive self esteem, particularly when you praise him for a job well done.
Since you are making foods anyway, you can try giving him some small pieces of whatever he's already eating. Sweet potatoes, carrots, whatever. I was also going to recommend avacado as a great early finger food if he likes it.
I really depends on the baby - Sara started with the puffs and other very soft small things (like cooked sweet potato) at about 7 months. She progressed quickly up over cooked pasta and mushy peas within the week! I basically stuck with the flavors I knew she liked in puree form and went with those first. I also combined small bits of food into a puree and fed them to her. Like cooked peas in a pea puree. That type of thing. It really is up to Caden if he is ready - go slow - give him ONE piece of one thing at a time - he may have some trouble first so watch for his swallowing and be sure the pieces aren't big enough to get stuck. I had to do the baby hymlc twice!