You must maintain constant contact with the GPU and PC to keep your energy potential at the same level as the the components and prevent static discharge. A grounding wrist strap makes this easier.
Static discharge is not always accompanied by a pop and shock. It can happen a low levels that are still damaging to electronics but are imperceptible to you.
Always make first contact with exposed metal away from ICs, connectors, or traces. IE the fan shroud (if metal) or the IO bracket (edge of the PCB is also acceptable but not preferred as there could be traces near the edge. Avoid contact with the fore mentioned while handling the device. When installing the GPU use a pinky or some other piece of exposed skin to make first contact...