Q: I'm building a PC, and people seem to say to connect your strap to the PSU, or the case which is connected to the PSU. However, the PSU is going to be the last thing I install, so where should I connect my strap?
A: to the metal chassis. You want it connected to what ever you are actually placing electronic components in. In reality, during humid summer months, static elecricity isn't a big deal, even in the winter, if you don't walk with the components, and touch the case with your finger before you put something in it, you'll be fine.