Most of the ship model supply companies (e.g., ModelExpo and Bluejacket) sell brass chain in various sizes. The big problem, of course, is that the stuff has near-circular links, rather than the stud links that are so characteristic of real modern anchor chain.
Stretching the chain helps a little, by making the links somewhat ovate rather than circular. I've heard occasional rumors over the years about small stud-link chain being available from jewelry suppliers, but I've never seen it myself.
You can get a nice black finish on brass chain (appropriate for American and various other warships - but not for the British Royal Navy, which has painted its anchor chains white for many years) by dipping it in one of the "blackeners" sold by railroad and ship model companies. If your hobby shop doesn't carry such stuff, gun shops (and many Wal-Mart sporting goods departments) sell a chemical blackener for gun barrels that works just as well. Sometimes the black finish thus produced tends to chip off; if you have that problem, give the blackened chain a thin coat of flat finish, such as Testor's Dullcoat.
Hope this helps a little. Good luck.
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