Ok, hopefully my anatomy course I took at Queen's will help answer this question.
First off, the feeling of a gag reflex differs from person to person. It depends essentially on the size of their UVULA and how low it hangs...(see picture below). Essentially, the uvula acts as a kind of gauge... it says "WHOA this is TOO BIG to fit in here" or "sure, this can pass through"... if the object going through can touch the soft palate where the uvula connects then the body is essentially saying... "whoa! this object is huge! it is already too big so a gag reflex is in order!" ... which saves you.. the body basically does not want you to swallow it because it will choke you if you do. So the uvula measures that.
for most people, the uvula hangs from the soft palate... a short distance away from the surface of the tongue... In other words, the distance between the end of the uvula and the top of the tongue is small... it is better - more safe that way.
Now, for others, it has a greater distance and thus when inserting objects, can minimize the area that the object comes into contact with the uvula by a fair amount.
The more you touch the uvula, the more you gag, but you also develop a tolerance to it in some sense... it's as if, you are used to that feeling but don't go through the reflex.
Eventually though, EVERYONE will GAG... because that is a PROTECTIVE measure the body uses to OPEN UP YOUR AIRWAY in case something goes there which shouldn't.
So, no one can say "I don't gag" ... but what they can say is "I am used to it"...
You can tell too!... you see the right and left side of the neck move up and down (where the carotid artery and veins are).... but they won't push the object out.
that means they gagged but they are used to it.