How does this work then? Say if I'm working on a new build, nothing plugged in.. what do I touch exactly to 'ground' myself? It's confusing, oddly enough. Do I just touch an unpainted part of the case with my fingers? My palm? Whole hand? 

Yeah if the PSU is connected and plugged in, just touch any unpainted area with any body part for as short/long as you want, it will ground you instantly.
Just do it naked + without any body hair? :S
as long as you're not moonwalking in your socks on a teflon pad beforehand, there's little risk imo![]()
t.chris - attach your PSU to the case, then plug it in.
That should be the first step anyway. Then just occasionally (right before touching each components, and at intervals) touch the case to discharge yourself (erm...).
I personally got myself a wristband on account of it being £1.25 for piece of mind, on top of a £450 PC and I'll be building several PCs. If you're just tinkering with one, there's probably not much point.
The way I figure it, why risk blowing up £450 for the sake of a bottle of coke and a freddo?