I think wearing an Anti-static wrist strap (ASWS) or an Anti-static mat (ASM) is, at the least, worth having... especially the strap (you can get a cheap one for $5). Sure... you could go years without damaging your computer due to not wearing one, but, I look at it like removing a flash drive from the computer. If I don't "Safely Remove" my flash drive from the OS before actually removing it, will that damage my flash drive? 9 time out of 10, no... but that ONE time fries all of your data on the drive.
I think, in the end, like a lot of things, it comes down to preference and comfort.
Of course, the environment in which you work on your computer components matters as well. Is it too humid? Is it too dry? Are you standing on a carpet (I saw someone doing this)?
That's my two cents (BTW, in the past 2 years I've built at least 8 computers. I wore an ASWS just to be safe)

I don't know how humid the room is, but I was in an air-conditioned environment yesterday. My aircon doesn't seem to be performing well though, so it was still rather warm even at 25C.
Out of curiosity, if ESD is discharged, is the damage instantaneous? I have seen arguments on two sides of the fields before - most people say it may burn a few transistors or gates and the damage may be invisible for years; then there are some who claim to be knowledgeable in this field who say that an ESD discharge will spoil the entire part.

If it only burns a few gates and "the damage may be invisible for years" then the question becomes, in those years, is the part dieing due to the ESD years earlier or simple part failure? Generally, I never expect any of my computer components to last must longer than 5 years, and not too surprised if they tend to fail after about 3 years (I usually keep my computer on 24/7 and often doing some processor task like ripping/converting video or compiling software). I think if you hit a part with an ESD and it still worked for 2 or 3 years (or more) then you got off pretty damn lucky. Beside... you were going to upgrade that part in 2 or 3 years anyway, right? ;-)

Hmm IDK...I'd prefer them to last 3 or more years, but so far I've never been this lucky before lol. My mobo, CPU and HDD have been good for 2 years already, so I hope it at least makes it past the 3rd stretch. If ESD does inflict small amounts of permanent damage, then I hope I can avoid them at least, it might save me a few more months, maybe years, of trouble. I only recently blew a hundred and seventy five on my GTS250, and even that has already taken quite a toll on my wallet :(

I would turn the PSU off at the wall, otherwise you risk that little inconvience called death. You should be fine grounding on the PSU just make sure to do it fairly often and before touch anything sensitive.
I build my computers in my bedroom on the a floor with a carpet and I've never had a problem without a wrist thing.

lol cool, thanks for the re-assurance!

By the way, when you said to turn off the PSU, do you mean before or after you have grounded your fingers? Unscrewing the side of my casing requires me to manually unscrew the knobs with my hands, and so does removing the side panel, so I guess that counts as grounding, but my PSU was off at the time, and I read online that if your PSU is shut off, you will not discharge the ESD.

You should just leave the PSU's power cord plugged into the outlet and just cut off the switch physically on the power supply. In modern residential wiring, the three wires for AC power are a "hot" or "supply" line, a "return" line, and the third is the ground wire that shouldn't ever have any voltage or "difference of potential" on it in relation to ground. This ground connection is the basis for the machine's "chassis ground." Those physical switches on PSU's should only be "breaking the circuit" with the 2 main AC power lines and should have no reason to break the circuit for the ground line. In short, with your PSU plugged up and with it's physical switch turned off, you should still have ground potential on the chassis of your computer case.
As mentioned earlier, you can safely avoid ESD damage just by touching your arm anywhere on the chassis while working in it - which one tends to do naturally anyway. Keep in mind if you handle items properly that will avoid any possibility of discharge. For example, when handling a cpu do not touch the pins and hold on it circuit card or ceramic edges. Same goes for video cards and motherboards. Since I grew up in the days of vinyl music I have tendency to not only handle the hardware in that manner but optical media as well.
On a side note, ESD damage was discovered by the military around the later 50's during the infancy of IC (integrated circuit) chips while researching frequent and varied unexplainable failure rates of different defense based electronic equipment. The common occurrence of ESD that most are familiar with is walking across carpet and getting a shock when touching a metal door knob. What most don't realize is that little shock can sometimes be a "difference of potential" or voltage in the thousands and even more-so in drier climates like south west USA. The reason people don't drop dead from it is due to the fact that there is negligible current flow - or the flow of electrons - the part that kills. But those brief high voltages can be detrimental to semi-conductor material.

So there's a difference if I turn off the PSU switch, versus the switch which the power line from the PSU is connected to i.e. the cable that connects the PSU to the socket on the wall? Sorry I'm still a bit confused.

If you have the PSU connected to the wall socket then it's grounded no matter if it's turned on or off. Ideally you want it off and discharged. You can potentially do far more damage by connecting a computer part to a PSU that's switched on than you can by static. Leave the PSU plugged in but switched off. Every time you are about to handle a part simply touch the case and you should be fine.

Whew. That's a relief. I'd gift you guys a GOG if I wasn't broke :D

Question: if I rub my feet against carpet, and I touch metal with my thumb and index finger, does this mean the static electricity on my feet will be discharged through those 2 fingers?

Yes Electricity always goes through the path of least resistance, in this case your fingers to the grounded metal.

By the way, speaking of turned of grounded metal, how do you know if a metal is "grounded"? Since the PSU is off, there is no more current flowing through. How come it is still considered to be "grounded"?
I'm sorry if I come off as a broken recorder. I just want to make sure :D

It's grounded because it's connected to the mains. I'm not sure about the wiring on 2 pin plugs but on a 3 pin plug you have live, neutral and earth, the earth wire is connected to the earth mains. All it does is like in the above example provide the electricity with the path of least resistance to reach earth, in this case from your fingers to the casing then to the earth wire. There is never a current running through the earth wire even when it's turned on.