If you don't ground it, the frame may tingle a little bit due to the leakage on the Y caps that are used in the line filter on the AC input, but the leakage current should not be hazardous (just uncomfortable). If your DC power common (black power wire) is not grounded (always is on a PC, btw), then everything in your cabinet will tingle like that. Again, not hazardous, just uncomfortable. If you do have DC power common tied to earth ground, then the Y cap leakage will find its way home that way.
If you choose to ground it, which is recommended unless you have a good reason not to, simply running a beefy wire - green with yellow stripes is conventional, but I just use plain green since it's what I have - from a good solid earth ground point to a bolt on the frame somewhere is conventional. I think the D9xxx series has a small tab marked for this usage.
Note that introducing this ground may cause video noise ("herringbone" pattern) if your DC common is tied to earth ground elsewhere.