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Yeah, I know, I know, but I'm going to do it anyway.
Here's my take on a plastic chain from plumbing pipe tutorial.
As you can see this is a little more involved than just cutting some pipe and connecting the rings together.
First you need some 2" ABS plastic pipe. I use ABS because its already black so the only painting that needs to be done is to age or weather the finished chain if desired.
Now you need to cut the pipe into rings about 3/8" wide. The width is arbitrary but I felt that 3/8" looked about right compared to the thickness of the pipe walls. I used my table saw to cut my rings but you can use whatever you have that will do the job.
Since I planned to make a lot of chain I cut up about 14' of pipe which I had laying around. It made a lot of rings!
This next step is completely optional. I thought that the nice clean edges of the rings didn't look right for something that is supposed to look old and hand forged. So what I did was just take the sharp edges off with my spindle sander. You could probably use any kind of sander but a spindle sander or a small drum sander is best to get to the inside edges.
For the next step you'll need to make a jig. A jig is shop talk for something that allows you to do the same thing the same way over and over and over again.
What I made is a piece of plywood with a hole in it to form the round rings into the more traditional race track shape.
To get the needed shape you start with drawing a rectangle 2-3/4"x1-3/4" on a piece of 1/2" plywood.
I then used a 1-3/4" Forstner bit to cut round holes at each end of the rectangle. It really helps if you have a drill press.
I then sanded away the little points where the round holes overlapped.
It's not necessary but I glued my finished jig onto another piece of plywood so that I didn't need to have the jig on a flat surface for the next step.
You can do this however you like, its the finished size and shape that's important.
Now it's time to break out the heat gun. You'll also need some gloves because you're going to be handling hot plastic.
Place one of your rings on a surface that can take the heat or that you don't mind scorching. Now turn the heat gun on high and heat up the ring. Keep the heat gun moving and flip the ring over every couple of seconds.
What you're aiming for is to heat the plastic evenly. You'll know when it's hot enough when it just becomes pliable. So check every time you flip the ring over. The difference between too hot and just right takes about a second.
Don't worry, you'll get the hang of it after doing a few. If you overheat the plastic it can still be used it's just a little more difficult to do the next bit.
Now take your softened ring and fit it into the plywood jig.
It will harden in a few seconds but I usually hit it with a blast of compressed air which hardens it immediately.
Rinse and repeat until you've made all the links you want.
To make chain out of the links take half the links and cut through one side. I used a really thin fine tooth saw for my cuts.
To join the links together, gently pry the first cut link open slightly and connect it to two of the uncut links. Using a disposable brush apply a small amount of ABS glue into the cut on the cut link. It should spring closed as soon as you stop holding it open.
With ABS the glue actually forms a chemical weld fusing the ends together. It's also pretty pungent so make sure you do this in a well ventilated area.
To continue just keep adding a cut link and an uncut link to one end of the chain. Gluing the cut links as you go.
That's all there is to it so have fun.
Here's my take on a plastic chain from plumbing pipe tutorial.

As you can see this is a little more involved than just cutting some pipe and connecting the rings together.
First you need some 2" ABS plastic pipe. I use ABS because its already black so the only painting that needs to be done is to age or weather the finished chain if desired.
Now you need to cut the pipe into rings about 3/8" wide. The width is arbitrary but I felt that 3/8" looked about right compared to the thickness of the pipe walls. I used my table saw to cut my rings but you can use whatever you have that will do the job.

Since I planned to make a lot of chain I cut up about 14' of pipe which I had laying around. It made a lot of rings!
This next step is completely optional. I thought that the nice clean edges of the rings didn't look right for something that is supposed to look old and hand forged. So what I did was just take the sharp edges off with my spindle sander. You could probably use any kind of sander but a spindle sander or a small drum sander is best to get to the inside edges.

For the next step you'll need to make a jig. A jig is shop talk for something that allows you to do the same thing the same way over and over and over again.
What I made is a piece of plywood with a hole in it to form the round rings into the more traditional race track shape.
To get the needed shape you start with drawing a rectangle 2-3/4"x1-3/4" on a piece of 1/2" plywood.

I then used a 1-3/4" Forstner bit to cut round holes at each end of the rectangle. It really helps if you have a drill press.

I then sanded away the little points where the round holes overlapped.

It's not necessary but I glued my finished jig onto another piece of plywood so that I didn't need to have the jig on a flat surface for the next step.

You can do this however you like, its the finished size and shape that's important.
Now it's time to break out the heat gun. You'll also need some gloves because you're going to be handling hot plastic.
Place one of your rings on a surface that can take the heat or that you don't mind scorching. Now turn the heat gun on high and heat up the ring. Keep the heat gun moving and flip the ring over every couple of seconds.

What you're aiming for is to heat the plastic evenly. You'll know when it's hot enough when it just becomes pliable. So check every time you flip the ring over. The difference between too hot and just right takes about a second.

Don't worry, you'll get the hang of it after doing a few. If you overheat the plastic it can still be used it's just a little more difficult to do the next bit.
Now take your softened ring and fit it into the plywood jig.

It will harden in a few seconds but I usually hit it with a blast of compressed air which hardens it immediately.

Rinse and repeat until you've made all the links you want.
To make chain out of the links take half the links and cut through one side. I used a really thin fine tooth saw for my cuts.

To join the links together, gently pry the first cut link open slightly and connect it to two of the uncut links. Using a disposable brush apply a small amount of ABS glue into the cut on the cut link. It should spring closed as soon as you stop holding it open.

With ABS the glue actually forms a chemical weld fusing the ends together. It's also pretty pungent so make sure you do this in a well ventilated area.
To continue just keep adding a cut link and an uncut link to one end of the chain. Gluing the cut links as you go.

That's all there is to it so have fun.