Gwei is a sub unit of ethereum, equivalent to ... not much 1 gwei = 0.000000001 ETH.
Gas is a very different thing. Firstly know that sometimes GAS is the currency associated with NEO. But in the context of ethereum it is the unit of computational cost.
Example: To make a simple transfer it will cost you 25k Gas. To execute certain smart contract can cost you 1 Million gas, etc... In fact, a poorly written contract and gas set to "no limit" would cost you ALL THE ETHER in your account. You can potentially loose all. But no panic, just always set gas limit to some value.
An now the most important thing: the price of gas is paid in ether. Is just like if you were paying in dollars for the fuel of your car. The tricky thing is that you decide the cost.
Now, in the gas station queue you have 10 people. One offers 1 dollar per litre and another offers 2 dollars per litre. Who gets served first? The highest bidder.
With the price of gas is the same, if you offer too little your transaction will take a long time, it may even never be processed. To choose the right price just check "how long is the queue" here
https://ethgasstation.info/ See those numbers? Safe Low, Standard, Fast.... that is the price that is reasonable to have your transaction or smart contract call within the periods of time mentioned. If you go under Safe Low your transaction will take a looooong time.
How do you apply this?
1- You need to know how much gas is your smart contract or transfer expected to consume. Transactions normally are set at GAS LIMIT 25.0000
And the owner of a smart contract should inform you of the expected execution cost. Never set LIMIT to "no limit", you may loose all your ETH.
2- Go to Myetherwallet or any other that let´s you set price of gas and put any of the values that you found in gas station depending on how fast you need the task done.
3 - Fill in the rest of the information and Launch!