Altough this method is somewhat repetitive, it works. Making a mapkey helps. I'm assuming you are using a roller chain here.
What you need to do is first create a skeleton part with a datum curve which defines the path of the chain.
Then in each of the links of the chain, create two datum points at the intersection of the midplane of the part and each of the pivot axes.
Now, when assembling, align (or mate) the midplane of the single roller chain component to the plane in the skeleton model on which the previously made curve sits. Leave it undercontstrained.
Then enter Applications-->Mechanism. Create two slot follower connections between each of the points on the roller chain components and the datum curve.
When assembling each subsequent roller chain component, apply a pin connection between the part you are assembling and the part that was previously assembled, then apply the slot-follower connections. I have not managed to make this work with patterns, so if you have a big chain to do, it would take you a while using this method.
Like I said, its pretty tedious, but it has worked for me in the past. You would have to get creative if the chain needs to follow a sprocket. I'm speculating here, but a cam connection (use allow liftoff) between the inner faces of a gear tooth and a few specific chain links (not all of them) may work
i.e. if the sprocket has 24 teeth, figure out which tooth would contact which sprocket, and create single cam connections on every 12th link in the chain, connected to one of two sprocket faces at opposite ends, this way, when the chain link lifts off of the sprocket, there is another one coming into contact on the other side. So, a driver applied to the sprocket body should impart motion on the chain.
