Basically you clip it onto any large metal object, which includes your case. The levels of static between you and the object will equalize, making it so that no current (electricity) will move between you.
If you want to be really careful, clip yourself to a grounded object like a toaster, that will earth you and completely remove any static. You could also put the PSU inside the case, plug it into the wall and turn off the switch at both ends, then clip to the case to achieve this.
Thanks for the reply. Where on the case is the best place to ground myself?