I used to use a sock or something for power tubes, or a cloth, or use the paper that stuff came in... (this is the worst idea) First off, I think it's much riskier to use the sock/cloth/paper simply because theres a chance a piece of it can get stuck on the pin and go into the socket and THIS is not a good thing, anything flammable going between two metal contacts.
Just make sure your not sweaty and your hands are clean I've changed a lot of power tubes this way with out issue, also pre amp tubes I've never ever had a problem just changing with my bare fingers.
I know it sounds silly, but the reality is with all the warnings and stupid shit you read on some of these websites as precautionary measures, the truth is it makes you so damn nervous your more likely to mess it up from being concerned about doing something stupid. Just make sure the pins are lined up with the holes before you push down, and always wiggle gently, you never want to use pressure otherwise you'll end up with a bent pin socket and that sucks.
I swear a lot of this stuff is made up so people can sell shitty tubes and have something to blame it on when it blows up...
*Oh no you mean you didn't clean your sockets with our special holy blessed contact cleaner, and you mean you weren't in a dust free hermetically sealed room oh that's why the tubes failed, oh your air temperature was above 76 degrees F, you sir DO not get a refund!* (Obviously I'm blowing this a bit out of proportion but it's not that far off sometimes from personal experience...)