To learn how to design a chain in the photoshop has become so easy by this example, it has some important instruction to make it so follow now.
New File: Create file size with any size.
Pen Tool: Choose "565656" color and Pen Tool (P key) to make this shape.
Bevel and Emboss: Go to Layer Menu > Layer style > Bevel and Emboss and use settings.
The image will look similar.
Make Another: Hold Alt Key and scroll your mouse to make another then adjust like a chain as given below.
Recommend the tutorial