What you need:
Your Choice of wire
A rod that you don't mind getting a little bent.(ideally steel)
A bolt that is thinner that the rod
Diagonal wire cutters or tin snips, or bolt-cutters, which ever is most appropriate
Table mounted vise
Patience, it took me an hour to get a foot of chain
If you want to make a nice smooth chain you should also have a set of files, some small ones too. If you do plan on wear the chain on bear skin you should do this or even delicate clothes
For this I chose 1/16" steel welding rods (the copper is just a thin anti rust layer) Its nice since it looks pretty and shiny but is still cheep and very strong. I used a oval steel rod and a #6 bolt.
Step 1: Wraping the Wire
The quickest and easiest way to get nice even loops of wire it to wrap them around a rod. do that mutable times. It would also help a little if you didn't wind them too tight or too far away form the edges of the rod. It might help to clamp or put the rod in a vise.
Anyways this might be the hardest step since depending on the wire you chose you might have to hammer it around the rod, just be safe alright?
Step 2: Hammering Out the Coil
The easiest way to do this without bent everything out of shape is to put the rod vertically in the vise, clamp it, then back off enough that it can slide freely but the coils cant. then hammer the rod down. Easy right? now to get it down to the coil, and take out that bold, and then use that to hammer the rod out of the coil. if you cant get the whole coil out no biggie, just come back to this step. after the next.
If that thing wont budge after there that send it over to me. I can put it on a press rated for 12 tons. If that doesn't get the bugger out than nothing will
Now would be the most convenient time to file down rough edges.
Once you're done with that you'll notice that their almost perfect: they are still a spiral. So we take the all tool, the hammer, and we hammer them flat.. Now once left to do is to bend them shut with pliers. Don't forget to link them together too.
Step 4: Other Ideas
you can really use any kind of metal, from steel, aluminum, brass, copper, tin, maybe even nickle.
If you want to try it you could use a electric tool to cut all of the loops at once. I would suggest a small cut off wheel on a dermal or a band saw blade. Think ahead though on what shapes you will get.
So yeah have fun and don't poke an eye out alright?