The above site is a great resource for ideas, techniques and inspiration. I love his work. As far as welding the chain into a billet it is one of the more technically advanced forge welding projects to do and I would not even attempt it w/o a press - at least not with my grandfathers chains. If you have not done one before maybe play around with some non-heirloom chain first.
From a how too stand point I cut the chain and fold it back and forth to get three layers laying side by side as long as needed. I do three of these and tack weld them so they hold their shape and are all connected laying on top of each other so there are 3 stacks of three. I weld this to a piece of picket stock or rebar for forging and get it really hot and brush it a lot 2 or three times depending on how dirty or rusty the chains are.
Then lots of heat, lots of flux and hammer or press to weld. Grind, fold, heat, flux, weld, repeat. until I have created a billet. Power hammer until it is long and flat enough for me to cut the blade blank out I desire and then treat like a single piece of steel.
Process is really easy to describe but because you are dealing with a medium that is often dirty, oily and/or rusty and by design, full of voids - there are so many opportunities for the forging Gods to punish you it can potentially be a frustration involved undertaking.
If, on the other hand, you have done a lot of pattern steel welding and are confident in the process just treat it like other welds you have made with lots of voids that need to be considered in the weld up.