With that, I wanted to share how I go about it because I do a little more than just gluing skulls to my guys all willy-nilly. For this you'll need the things pictured above.
The pliers are the biggest thing and unless you have some cross hobbies or a sister or mother that loves making jewlery, you'll need to make a special purchase for this. For me, I cleaned out my mom's basement a year ago and saw them and thought that some day I'd use them. I love premonitions. Other than that its pretty basic stuff; dremel or hand drill, tiny chain (this is actually sold at micheals/hobby lobby in their jewlery making section, near where you'll be buying your pliers), your models, some glue, tweezers, and in this case, some 0.025" pinning wire.
First you'll drill your holes where you want your chain to connect. Eyeball the measurement; its no biggie because you can open or close your loop to make it fit, just get it close. I use a drill bit that is 0.032 so there is plenty of wiggle room in not only the opening to put the wire in but also the angle of the wire after you insert it in the model. If you're using the dremel, be sure to go on the slowest speed. If you're tearing it up on a really fast speed you'll actually just melt the plastic instead of cutting it like the drill bit is supposed to do and you're hole will end up way way too big.
Next you'll do the same thing with your skulls or whatever you want hanging from your model. Since I'm doing Chaos I'm using the skulls but as I dug around in my bits box I found a lot of neat ideas even for loyalists to have hanging on chains. So for you sad, sad, foolish, loyalists, don't feel bad because you can still be as cool as chaos and still worship your false god.
Now is where your specialized pliers come into play. The pliers are rounded instead of flat like normal man-pliers. This makes they perfect for bending rounded shapes into wire and also makes them feminine in the pliers world. So when you go to buy some, just tell the cashier they're for your younger sister's birthday.
For our tiny loops you'll want to use the very ends of the pillars. The difficulty is that the force you apply in the handles decreases in effect further from the pivot point. So if you're using a really strong wire like I use (galvanized steel) you really have to give it a good squeeze. If you don't the pliers' tips will twist over each other and it won't form a good circle. Also, leave your self at least a good inch or two of wire for leverage to twist around and form the circle.
Viola, a semi-circle we'll be using for our first link. To cut it I use another pair of pliers with a snip in it. I keep the loop in the jeweler's pliers so it doesn't go flying to the non-existence of my workshop floor when I cut it with the other pliers. I also make a few more than I'll actually need because I'm kind of a fat fingered klutz when it comes to super small parts like a single link in a 28mm scale chain.
Next feed your semi circle through your chain and hold it with the tweezers. Apply a tiny drop of glue by either just tapping the needle of your glue bottle to the wire or by dipping the ends of the wire in a drop of glue you've put on something. Either way, just make sure its not a heaping glob of glue that when you put the loop in the model it won't pool around the opening of the hole or get on the chain.
Once you're lined up and glued do your best to get the link started in the drill holes. Generally it won't line up perfectly so if needed, go back with your pliers and pull the link open or squeeze it closed as needed. Usually this isn't a problem, and at most your holes are just a little off.
Once its lined up and started I take the man-pliers and squish the link in the rest of the way to really secure it. What I like most beside the more realistic look of using the loose chain is that with this method, the decorative piece is incredibly secure. You can usually pick the model up by just the chain without any problems. If it were just glued on, I find that even with care, after some time they'll fall off from general wear and tear of the hobby.
Next you'll do the same thing with whatever you want to attach your chain too. In this case I'm putting it on the underside of the arm of the power pack. You'll want to make sure your skull is facing the direction you want so just be ware of which link you're attaching with. If you want the skull facing out, then you might end up with it facing either side if you don't cut the right link from your bulk supply of chain. Its hard to explain without a diagram but after you mess it up once you'll understand. That's how I realized.
Here is the pack with two skulls; one on each side.
I wanted to add more skulls to the pack since this will be on a sorcerer/librarian. Whenever you have more than one chain on the loop you have to increase the diameter of your loop, otherwise you're skulls will hang funny and look all bunched up. Same process, just making a bigger loop.
And here it is finished and on the model. Any questions please feel free to comment below and I hope to see some more securely attached decorations on your models.