If you really want a chain of bullets, find a punk shop or a rock shop in town and see if they sell bullet belts, they can get pricey but if its the look you want, then there you go.
That way theres no screwing around with live ammo and now screwing around with trying to press your own ammo, its probly one of the safer ways, unless you can find a surplus shop that has deactivated rounds. You can even buy these belts online, but you can only purchase from a canadian retailer.