My first pulling was with sesame and I gagged too. I think it was the smell and the taste plus I took too much in. I switched to sunflower and it was much better.
Make sure your sesame oil is not rancid. Of all the oils, I believe that it goes rancid the quickest. I store mine in the frig so it will keep longer.
I have two large bottle full of rancid sesame oil that I don't know what to do with. I thought about using it externally on my feet or something.