You can model a chain in Advance using the AutoCAD tools and import them into the model as a Special part. You can also find a particular chain on the website and also import it as a Special part. Remember do not make it a block. The object has to be a 3D solid when importing into Advance steel.
When you import it make sure the Behavior is set to Used for lists and a material is added to the part.
Hope this helps,
Attachment: CHAIN SPECIAL PART ADDED TO LIST_0.zip