It isn't a bad idea to leave the power cord connected to the AC line. That been said, YOU MUST...... Turn off the surge suppressor or power strip! Bleed the PSU by holding in the power button until the light goes out completely. Then , put on the anti-static wrist strap, clip it to bare metal on the case, and ground your bare finger to a bare metal part of the case for good measure. You're good to go!
DO NOT try this without a surge suppressor or power strip in the line.
When you turn off a power strip, it only disconnects the HOT wire. This leaves the ground connected and the case is always grounded, so when you discharge yourself to the case, you can be absolutely certain that the static has been discharged.