It depends on context, Sometimes not a great deal:

http://www.macmillandictionary.com/dictionary/american/gag#gag_4

http://www.macmillandictionary.com/dictionary/b

To choke is to squeeze one's throat firmly; to gag is to cover one's mouth firmly.
To choke is to suffer blockage in one's throat; to gag is to initiate the disgorging reflex.
To choke is to reduce the amount of air going into an engine; to gag is to tell jokes.

It is better to supply some context to your general questions.

So "she choked me" means she squeezed my throat?and "she gagged me means she covered my mouth with Anything?so is it right to say,"she gagged me with a pen"?

You cannot gag somebody with a pen. Did you read definition 2 in the link I gave you?

Oh yes u r right and one can be choked with a pen right?"she choked me with a pen".Is that right?

Oh I think I got you so it would be right to say,my bf choked me with a pen?

tostyle unOh yes u r right and one can be choked with a pen right?"she choked me with a pen".Is that right?

Please use correct forms of words, 'you, are', in this forum.

Choking somebody with a pen seems an unusual thing to do. People who go round choking others normally do so with their hands. I seem to recall that AS posted a picture of this pastim

It is unusual but it's proper English,right?

In the sense that "He stabbed me with a balloon" is, yes.