My 4 month old still does that. Yes, sometimes they can choke, but coughing means that they have the natural reflex to prevent milk from going into the windpipe. If baby coughs and then continues to remain well after that (continues feeding/playing/sleeping, and doesn’t turn blue), then it’s fine:) But it’s always useful to go read up and learn how to do the baby Heimlich manouvre, just in case baby does choke one day and can’t cough it out.