Step 1: Experiment
Step 2: The File
Drilling out plastic rod by hand would've been laborious and inaccurate so I had 32 identical caps printed in and sent to me in Shapeways' elasto plastic. Because of material costs, the best thing for inventors to print these days are small things, and these caps are as small as it gets.
You can download the .STL of my original caps here if you want to print them yourself.
STL - 32x Plastic caps for 12 guage wire + 1/4" magnets
Step 3: The Build
When printed in elasto-plastic my file fit 11-13 gauge wire because of the materials stretch. If printing in plastics like PLA or ABS tolerance will be more important. A digital caliper is a great tool for this and you should be able to find one for under $20 at your hardware store.
I bought my 1/4" sphere magnets here but you can use anything you have laying around.
If you print 32 caps, you should end up with 16 completed links.
Step 4: Now the Fun Part
Start with a solid base. You'll soon learn to love triangles. Build slowly up, and keep everything neat.
No more links the right length? You can snap a magnet anywhere along the length of the wire, it will just tend to slide more than the magnets on the end.
Want to take your set with you? No need for disassembly, just smash everything down and toss it in your pocket, the magnets keep it all together. And don't forget, all of these sets are compatible with each other. Challenge your friends to make the best design, but at the end of the day you can throw all your sets together and build something awesome.