Yeah, ESD can be a munch... I'm sure you already know this, but not all Intels have the same pin number, meaning a certain P4 might not fit into a certain Celeron's ZIF socket. Furthermore, not all Intel processors are compatible with one board, meaning that a 3.2GHz P4 might not work where a 1.8GHz Celeron did. Like I said, I'm sure you know what you're doing, but just be on the safe side and check the compatibility
Also, when working on a computer, make sure it's completely unplugged (and that you have waited 5-8 seconds for power to completely drain), do not just turned off! Before you begin any work at all, make sure you're not on carpet or a rug
As for protection against ESD, always try to keep one hand in contact with the metallic frame of the computer. This will normalize your charge with the case's, which will cause yours to be much lower overall. As one more rule of thumb, do not hold anything by the middle (or where you can see metallic traces/pins), hold everything by the edges.
After that, all you need to do is make sure you put the processor in the right orientation (but I think you'd know how to correctly insert a processor, so I won't go into detail here).