I have a little bit of a theory that I've been working on in my head. If you make a work plane from the center of one of the sprockets to the center of another sprocket. Then make a mate constraint from the center point of the gear to the work plane (this will only work with two sprockets being the same size), and then constraint all of the peices of chain together (aka hole constraint) so that they fit together like in real life you should have chain that can rotate along the axis. The only problem with this design is the fact that the sprockets must be the same size and your path has to be straight. Just a theory. Hey if it works you would be the first. Oh and hey pete you were right somebody would figure it out right after you post it.
aka: I love inventor