Definitely wear gloves, and if I think my gloves may be sweaty, I'll turn the machine off to swap rods ( and gloves). Remember that when you do not have an arc struck, you are holding and open, high resistance circuit in your hands. All you need to do is provide the electricity with a lower resistance path via your sweaty or ungloved hand.
Here's an interesting article that puts things in perspective:
http://www.cdc.gov/niosh/face/stateface/mi/03mi193.html
With everything this poor guy did wrong, it appears that changing rods with out gloves killed him.
Cheers
Mike