If you can then install the PSU first then plug it into the wall.
...and just to add for those reading that aren't sure for whatever reason, leave it OFF at the wall plug!
Chances are if you don't ground yourself you'll be absolutely fine. I've messed around inside a PC many times without being grounded and never had any issues at all. Just took the common sense approach of not shuffling around on the carpet while I was doing it!
However, there is a slight chance that by not grounding yourself, you could build up static and fry components. It's unlikely, but wearing an anti static wrist band or similar is a very small price to pay in insurance if you're dealing with hundreds of pounds worth of electronic kit!