yes you do need to protect your parts from static charge - tho this was far more important when computers were the size of your living room.
Simply put, touch something metallic that you know will discharge your static electricity. Then touch the case the computer will be in (or at least a metallic part like the psu) before touching the components and you should be fine.
There are static straps you can get that connect you to the computer case while building, tho I find them to limit your abilit to move around. (even saw a fella forget he had it on & drag his new system off onto the floor...)
mount the PSU in the case. Plug it into the wall! (you should probably turn the master power switch on the PSU to off) Touch metal on the case, you're grounded.
I've never found a need for grounding straps, but if the air is very dry, or you like wool socks and shag carpet, it's not a bad idea.
erm, mounting the psu & plugging it in turns the power supply partially on - in otherwords it has power going thru it - connect the motherboard while the psu is plugged in (even tho its switch is in the "off" position) is not a good idea - there will still be power going thru the motherboard connection. This could short your system if you accidently have a powered psu and have any power connections touch the wrong thing.
So after the discharging effect, unplug it before installing the motherboard and components...
I work for Celestica <- OEM company and they told us that it takes 3000 volts for you to feel the static and it only takes 100 volts to kill a computer part.
I know that you are thinking that 3000 volts is to high but that is what Celestica has told me lot's of times and they even made me take a test on it .They also make us wear the wrist straps and heal straps and jackest that have metal fibers running through them
I have a question about static, too. If you touch a mobo (while it's outta' the case, with no RAM, CPU, PCI/AGP, etc) and you can hear/feel a zap, is it toast?