This effect I used in the layout for a website long ago, and now I'm showing you how to do as I did. With this technique you can create your own set of chains and make them twist or turn any way possible!

Learn how to create a set of Chains!
Step 1 First, use the Rounded Retangle-Tool to draw a shape like mine below;

Step 2 Use the same tool to cut out a shape of the larger one and create a new small shape. Make both shapes on 2 different layers;
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Step 3 Add these layer-styles to the objects;

Step 4 Now create a layer under one of the layers and merge one of them with that empty layer and do the same with the other.
That way you will have 2 layers with no active styles.
Then just duplicate them and rotate them;

Step 5 After a while you got something like this below: