I haven't made one yet but I would use an extruder with the smallest hole and then cut it and join the pieces just like you make a paper chain. Good luck.
I have made several chains. How I have done it is to use a small circle cutter initially and then use a large hole icing tip to punch out the center so that I was left with a small doughnut shape. I then cut one side and looped it through an uncut one and then pressed it back together and continued on. You need to make sure to not cut out too many at a time because you need them soft and pliable in order to fasten them back together. I use gum paste and if I want a silver chain I use pearl gray gum paste and then when it is dry I hand paint it with silver luster dust and vodka. For gold, make gold colored gum paste and paint with gold luster dust and vodka. Look in my pictures for the Junior Spy Cake and you will see hand cuffs I made with this method. HTH
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