How to properly use ESD protection wristbands
You must be at near the same voltage as anything you're working with or else there is the potential (pun intended) for an electrostatic discharge.

One approach is to have your ESD plug into a jack* on the table which is connected to an ESD protection mat on your desk. Then anything you're working with which is ESD sensitive should be placed on the mat or in an ESD-safe container.

*Note: This is just a convenient local jack point, not your standard wall outlet with mains electricity! Sometimes this is also connected to mains earth through the third prong in the wall outlet.