Ian, I absolutely agree. I omitted that as all of the newer ATX PSUs I have worked with did not have those problems or require a load. However, it does not hurt to play it safe. You can hack a mating connector from a scrap board or buy an extension connector, 20 or 24 pin depending on what you have. Tie all the orange wires together. If there is a brown wire the supply uses 3.3V sense, include it with the orange wires. On the newer 24 pin connectors it should be Pin #13. Then place a 10 Ohm 5 Watt resistor between all the orange and ground to serve as a load. On a 24 pin connector Pin #16 is PWR_ON and on a 20 pin connector pin #14 is PWR_ON. To turn the PSU on place them at Ground.There are some gotcha's with using an ATX PSU - you have to adequately load both the +5 & +3.3V outputs, or the others will sag under load.
When I repaired PSUs for a living, I had a nasty problem with a cheap low rated ATX PSU - not all the 3.3V connector pins actually carried power, one of the pins had the voltage sense wire all to itself. The connector on my test load didn't anticipate this and the unit was powered up with no connection between the 3.3V output and its voltage sense wire - the PSU went bang!
Since then; any time I make up a dummy load, I take the snips and cut the power connector out of the scrap board rather than unsolder the connector - that way, the PCB traces automatically group all the pins that need to be connected together.
Use a good quality PSU which brings us back to all the eggs in one basket. Thanks to Ian for bringing that up.