How can I keep from choking if I lose a piece of mouthguard?

Get a custom mg. Don't skimp on the type of mouthguard. Over the counter or online, non custom mouthguards are usually not well made. Get a well constructed custom made mg at the dentist or tmj/tmd specialist. Express your concerns, which may dictate the type.
Choking. It would be unlikely to choke on a mouthguard, if when it is not positioned directly over the teeth, you remove it from your mouth. If the mouthguard is starting to fall apart and you are worried about pieces of it coming off, then it is probably time to replace it.