Anything that's grounded, you could clip it a sink or your toaster if you really wanted. Though yes, generally you clip it to your case to equalize the static between you and it (its not static outright that damages components, but the movement of it). Just clip it somewhere that you wont see through the case window.
You could also clip to your (installed) PSU's fan grill.
You could use rubber gloves, though I dont see much point in doing so.