If your observing proper ESD measures, (an anti-static wrist strap, or constantly making contact with a grounded object) there should be no great danger of zapping your components.
Dont know if the chances of zapping components woul increase or decrease with wearing latex gloves. One possibility is that it adds another barrier between you and the CPU, adding to your electrical resistance. Or through the friction with your skin, will build up its own static charge.
Its not so much the presence of static electricity that will kill components, but the movement of it. By connecting yourself to the case, you will be equalizing the static between yourself and case, meaning none will move. Having a plugged in PSU will remove that static entirely to Earth, but isnt necessary.