Anti-static wrist straps are good. They will keep you at the same potential as whatever you have it clipped too.
I don't agree with leaving the power supply plugged into the wall. While that will bring you and the PC to the same potential as your house wiring ground it's not important for avoiding a static discharge. I think it's too great a risk given some of the inexperienced users that use this forum. For a more seasoned builder that has a better understanding of their system and electronics and electricity they could work with the power supply plugged in, but as a general rule given the audience I would say, "Always unplug your system before working on it"
Static discharge occurs when two objects of greatly different static potential come close enough for the electrons to jump the gap from one object to the other. Bringing both to the same level. An anti-static wrist strap insures that both objects are always at the same potential by keeping both connected via the conductor. Further by touching the edge of the case and allowing any differential in potential to equalize (happens almost instantaneously) you can prevent a dangerous buildup. Further more if you handle your components properly you can vastly reduce the risk of damage. Touch the anti-static bag first. Touch the corner of the PCB first. Touch the heat sink first. Don't touch the connectors. Don't touch the pins. Don't touch the ICs. Handle parts by the edges. When installing components rest your wrist on the edge of the case so that you bring your body and the part you are holding to the same potential as the case before moving the part down and connecting it to the system.