Jools, I was as an electronics engineer for over four years at the BT Research Labs, and have been doing my own PC upgrades since. I've never managed to zap anything yet and usually don't bother with a wrist strap, even though I've got one in my *ahem* borrowed toolkit
Some components - pc memory chips in particular - are more prone than others due to the very minute thicknesses of the silicon involved (a few microns thick! ) but you tend to find that EEPROMs like those used in most aftermarkets fuel chips are a lot more rugged as they need to be blanked/programmed, sometimes many times over.
That's not to say that it won't happen, and you're right that 3.99 is cheap insurance, but I wouldn't personally bother as you don't need to (shouldn't) touch the pins anyway.