He is just becoming accustomed to the texture - it may take a month or so of regular, daily solid food feeding for him to acclimate to it. Remember, all he has ever known is liquid, and baby cereal has a much stickier than other pureed baby food.
Try mixing the rice cereal with a container of pureed fruit and a few ounces of breastmilk to thin it out. By mixing it with a smooth fruit baby food, it will smooth out the grainy texture a little bit for him. It is important that you not thin it out TOO much though, he needs to get used to texture in his mouth if he is to move on to other, chunkier stuff as he gets older and grows teeth.
However, I stress the importance of pushing the veggie baby foods as opposed to all the fruit and starches - children who are introduced to only fruit and other sweet baby foods when they start on solids are very difficult to get to eat their veggies for the rest of their young lives, often into preschool-hood. If they only get the sweet, they will refuse anything but sweet! The pureed vegetables also tend to have a little more texture, and are much healthier as far as vitamin and mineral content too.
*Just as an edit in response to the above response, as a medical doctor that specializes in children with special needs (75% of them with some sort of feeding/textural issues) he does NOT need to see a throat specialist. It is developmentally normal for baby that has just started on solids to gag on texture such as rice cereal.