Actually you don't want to unplug your computer's powersupply, if you do you don't have a ground. You should definately turn off the power supply (with the switch physically located on the PSU, not the soft power button up front) becuase as Ulysses said you don't want current running through your mobo, but don't unplug it or you lose your ground.
Even better plug it into a Surge Protect Power Bar and turn it off, but make sure all the plugs are in (again you want your ground).
I honestly have never used one of those stupid wrist bands, they are also extremely uncomfortable (ok I'm a big guy and have thick heavy arms but still) I just make sure I keep an elbow on the edge of my case.
I keep all my PCI (and AGP) cards on one of my case side panels metal side up when they aren't in my machine. I dunno if I'm right or not but my reasoning is that metal conducts electricity and thus can't build up an electro static charge...it's been a long time since physics though so I don't know if that's right

But I have yet to damage a component with static (actually the only time I damaged a component was when my ESS AudioDrive 1868 ISA (cheap SB16 imitation) f*cked up on me for the 4 millionth time it got thrown off a 3rd floor balcony onto a concrete driveway, that's the only PC component I have ever damaged).