Sluggo,
you did not say whose links you have.
are they the Tamiya set?
make a jig or guide by taping a ruler to a piece of glass or a flat board.
try building up the indy links in runs of 5 or 10, then joining these to make longer straight runs.
usually the around the sproket runs are done w/ a liquid cement (for plastic links) and then formed around the curve while still flexible.
do a search on the forum for 'individual link' or 'indy link'.
this topic comes up regularly, and there is some pretty detailed info already floating around.
like these threads:
http://www.finescale.com/fsm/community/forum/topic.asp?TOPIC_ID=18753
http://www.finescale.com/fsm/community/forum/topic.asp?TOPIC_ID=20131