This is for making a chain out of any gauge or metal so long as its long, thin, bendable. and cutable. You can even try using very thin titanium for all I care. I would suggest that any wire you use should require some effort to bend so you don't get a weak chain.

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
a Hammer
Diagonal wire cutters or tin snips, or bolt-cutters, which ever is most appropriate
Pliers
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

A chain is made up of lots of little loops of metal. But here you have a nice straight piece of 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 next step would be to get the coil out of the rod. If you wound it too tightly it might not come off by hand. in which case you will need to get more physical
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

Step 3:

Now that the coil is off, take your choose of cutting utensil and start snipping them off. You should cut in almost the same place every time. You should get nice even circles/oval. Try not to let them fly across the room.

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

If you're using thick wire or some metal that doesn't conduct heat well you could try welding them together. But if you're using steel its pointless. I cant break my 1/16" wire chain with my hands and it would be impossible to weld those links together in a strong bond. You could also try blazing or soldering but with the same issues. The biggest advantage is covering the gap so you get a smooth chain without all the work of filing.

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?