Here is a Vid of the photos below.
First you need a Bike chain, and I got this one from Walmart for $7.00. Next you need a way to separate the links. I used an old chain breaker I had in my tool box (this broke after I broke the chain 20 times). If you do not have one a punch will do. You will also need cheap key ring circles, and some rubber O rings. The last two items I had in my house but you can get them cheap at a home store like Home Depot, ACE (is the place), or other DIY centers.
Chain and breaker tool.
side of the ring. Finish passing the ring all the way through the last ring and you are done.