Ankush,
This question comes up fairly often, so searching in the forums with the right search terms will probably get you a number of interesting answers. I suspect that it may be easiest to use mate sketch elements; points at the pivots of the links and a Fit Spline in the assembly. Getting the gears to align properly between the links may be tricky. I think you can only get that to work through a limited rotation.
Jerry S.
Ankush -
Here is a youtube video showing an example of mating chain so it can move. http://www.youtube.com/watch?v=aUm30f3BNDc I have this bookmarked as I don't use chain often enough to remember.
You will want to define a continuous surface body.
Then use a cam mate such that a reference point in your chain is on that surface.
DO I PREFER PATH MATE? BUT HOW I DONT KNOW