If you have ever tried to weld a chain before, you probably have noticed they tend to be coated in grease or oil. This makes the MIG welding process tad bit difficult. An easy way around it its to burn off the oil before welding.
Coil up the chain on your heavy duty work surface.
Use your torch to heat up the chain and burn off the oil. You will be left with a light grey coating of ash and a chain ready to weld.