I had this dilemma recently as well. I wasn't sure if I could use my chassis to ground myself because it's painted black. Also, I read all these alarming articles saying that while shorting may not be initially visible, it could silently degrade performance over time. So I bought one and put it on my ankle. I bought it with a mat and grounded the mat to the grounding prong of a nearby outlet. Cheap insurance for the $1000 I just spent on computer parts (not including monitor, OS and other peripherals).
Now that my PC is built, I think I'll just keep my PC off, but plugged in, like others said.