You will need candy wrappers. Starburst wrappers are the perfect size, as are Now and Later wrappers. You will need quite a lot if you want to make a long chain.
Step 1: Fold Wrapper in Half
Step 2: Fold in Half Again
Step 4: Now Fold It the Other Way
Step 5: Fold the Ends Into the Center
Step 7: Link Them Together
They look like the letter V. Hold one so it looks like the letter V and then stick the other one through the top of the first one. I can't really explain just look at the photos.
Step 8: Keep Linking Them Until You Reach the Desired Length