I've made a video of how to create your own but the construction needs a tiny bit of explaining.
This is what the card looks like. Pay attention to the spine of the card, this is the chain link bit.
To form the chain, the bottom link is removed, the 'links' folded down, working from the bottom up and tucked under the moon shape below.
The link from the bottom of the card is saved and used to stick onto the top of the card, completing the chain.
There you go, not hard at all! Here is the file. So go ahead and experiment with the method and see what new shapes you can use! The video also shows how to create a similar border to the one shown here. Here is another one, made with a flower shape. The effect is different. You can even make them into panels. These panels can then be used to make lanterns.
EDIT : If you want, you can use a marker to colour the INSIDE rings before you fold them down on the outside, giving a nice contrast.