Step 1: Materials and Methods
Bike chain - should be reasonably straight, but pretty much any crappy, rusty, bent chain will work. You can combine various chains to make one of any size desired. I suggest cleaning off the grease first.
Chainring - any bike gear will work, but chainrings are bigger and have convenient bolt holes to put your pen in. If you use a cog from the rear gears of a bike, you'll need to affix some cardboard or something to make pen holes.
Pegboard - 1/4 inch pegboard with 1inch hole spacing seems to work perfectly. A bike chain is about 1/4inch thick, so this size works well. You can also use plywood, plexi, or probably even cardboard. Those things don't have conveniently pre-drilled holes, however.
Wire - thin, flexible steel wire works well. Nothing too thick and avoid insulation. You'll probably need at least 5 feet. You could use some sort of glue to put the chain on as an alternative. Hot glue would probably work real nice.
Jigsaw and drill to start the cut.