The Speed Chains are difficult to build on your own because of the type of chain used. The chains are variable resistance as the link of the chain gets progressively larger as it extends further away from the athlete. This is so that the chain closest to the athlete is smaller and lighter and can be moved more explosively, while the chain at the end is heavier and helps develop strength and power. Therefore, you can't simply get the chain at your local Home Depot.
Hawghauler, there is a bat speed chain that comes with chain attached to a bat grip.
If you are interested, all of the Speed Chain products and a number of training videos are located at:
http://www.chaintraining.comThe site also has a blog that discusses the benefits of using the products along with testimonials from coaches and players who train with the chains.