I have a cough that makes me gag, should I worry?

Cough with gag. The gag you are having is a reflex from the cough. You should not worry but think of the cough and what is causing it. A virus, exposure to chemicals or dust, infection with fever, asthma and acid reflux. If this is recent it may go away quickly(5-7days). If this is long term and chronic then you should see a physician.