You will get a warning message before proceeding (which can be overriden with the --force option, although I caution against this):
gists-gone have 3 different options, all of which can be combined for specifying the type of gists to included in the deletion.
However you can simply rerun the tool after you've deleted some gists or if you're feeling fancy you can invoke the command multiple times with a loop:
The Github API also has a personal rate limit of 5,000 requests per hour so bear in mind you'll have to wait an hour if you want to delete more than 3000 gists.
I've done my best to unit test this tool as thoroughly as possible but as there is no way to retrieve a gist once it's deleted I caution you to not use this tool if you have any particularly important or sensitive gists that you do not want accidentally deleted.