Hi Kazden,
Making the chain isn’t hard. It could be as simple as creating a series of 3D ‘O” shapes, and spinning every other one 90 degrees (so the first one lays flat, the second is vertical, the third flat, etc.), then moving them closer to eachother so they are in fact linked. To get more complicated, you could make more complicated links in Illustrator or another modeling program.
The challenge comes if you need to animate the motion of the chain. The limited number of sets could keep you from animating enough individual links. Getting them to behave naturally during the motion process would involve lots of keyframes for the sets. Another way to do it might be to use layercycling and moving a series of links in your Illustrator layers.
If all the chain links are in straight lines that don’t bend, it would be lots easier.
Does this help?
Jon