A motor (4.5v)
Some gear wheels
Some chain links
And some other general bits.
These parts are required, as pictured.
The tricky part was the saw teeth...
Step 1: Saw Teeth
If you examine Lego chain-links, you will see that they interlock with pins spaced 6.5mm apart. There's enough clearence to get something very thin between the joints to be fixed on the same pins:
Aluminium beer-can, easily cut with scissors & sharp knives (do be careful).
A knife blade
A piece of stiff wire (from an umbrella)
A picture nail
An abrasive stick (coarse corundum, probably)
A piece of wood
Please view the pictures for the method.
Step 2: Fitting the teeth
Mount one tooth on one pin of a chain link, and secure it by clipping another link over the top.
Then mount the other hole on the tooth on a third link, and clip it to the first, securing the tooth.
(If anyone gets this far, and I doubt it, they'll work it out)
Step 3: And the rest
The pictures should give you enough information.
I started with a direct-drive from the motor pinion, but later geared-down (intro picture). However, direct-drive off the motor works best.