Everything stays inside an ESD safe bag (or other packaging, like DIMM clam-shell packages) unless I am at the computer, and before I open it or handle any component I have discharged to the case by touching it. It doesn't have to be grounded, I'm just equalizing charges between myself and the case.
Everybody thinks about the spark discharge as the way something is damaged but there's another way. Everything has an electromagnetic field surrounding it and it builds up as it moves about or rubs against something else. With synthetic clothing in dry atmosphere a field of hundreds of thousands of volts builds instantly just by standing up from your chair. That field alone can cause latent damage to some very sensitive components so that is why you should always 1)keep everything in a bag and 2) keep yourself charge-neutral with respect to the case (and everything installed within it) by touching the case as you move about. So it's either in an ESD bag or in my hand as I'm putting in/taking it out of the case and I'm always in contact with the case.
A wrist strap makes that easy to do, so if you do this a lot and can't remember to keep yourself in contact just wear one.
That said, I do believe that PC sub-assemblies are designed with full knowledge that amateur techs with very little practical experience will be assembling them into systems and so have been designed with a lot more protection than in the early days. I just love the YouTube Box Opening reviews where the reviewer takes it out of the ESD package while shuffling around with it in his hands pointing out features...even rubbing it against his shirt. If they were super sensitive to ESD, there would be a lot more Part II's with sad endings.