One possible approach you can take (if you want a large amount of control over the assembly and animation of the chain) is to build the chain up around a "skeleton" (design master, or control structure).
For example, create a part whose only purpose is to represent each of the links via a combination of sketch(es) and datums. Then, assemble the chain components to this part. One approach that has worked for us is to:
1. Create a sketch of the pitch line of your chain. This should be a tangent-continuous sketch composed of lines and arcs.
2. Join the sketch curves (Insert > Curve from Curves > Join) to create a new, single, continuous curve.
3. Create a new sketch representing every single link in the chain. (Tedious, but depending on what you want to achieve with this model, very useful). Mate the link ends to the Join Curve above. A simple angle expression can enable you to animate the chain links. Think about it...
4. Use a creative combination of datums, referencing your new "Chain Link" sketch, to give your eventual chain assembly robust mating datums.
5. Finally, make a new assembly, assemble this "design master" into it, and then assemble all your little links and pins to the "design master".
Hope this helps.