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.