There are all different types of gloves out there that are plastic/vinyl/rubber derivatives, but which ones are suitable for pc building?
I found out (the easy way:google) that vinyl gloves are 'ok' but not best suited for electronic work, but there are now nitrile coated gloves which say are better suited for electrical circuitry work and so forth.
i've never used any kind of protection when working on computers. and i have yet to kill a part from static. i don't think you could actually build up enough static in you to actually kill a part from one touch. i've seen components stand up to way more. i once was working on my old computer and had put a pci cooling fan on top of my video card and the pci bracket touched the molex plug of the card and sparked. my screen turned all weird colors. but i restarted the computer and it's been going strong ever since!
Also, if you are in a colder part of the world, boil some water. The humidity of the air will determine how much static is around. Cold air is dry air, usually. Mom hated to get zapped and kept a teapot on the stove
i bought an anti static wrist strap when i bought my parts - i tried to upgrade my memory for my old computer last year (when i first started getting interested in building my own pc) and i fried it - or something did - it didnt have a heat spreader and i didnt know how to handle it so it was probably me.