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Choose your paper.

Article:
The color and thickness will depend on why you're making the paper chain. Consider picking colored paper that matches the theme of an upcoming holiday: red and green for Christmas; white and blue for winter; orange, black, and purple for Halloween; pinks, blues, yellows, and other pastels for Easter. You can buy colored construction paper, or you can color the paper yourself.  If there is no holiday coming up, feel free to make your paper chain plain white – or to use a wild mix of colors. Work out a pattern of alternating colors in complement or contrast. Avoid using thick paper that will not bend easily. Most construction paper should be okay, but you don't want to get much thicker. Remember: you want your paper not only to bend, but to stay bent! Try using special seasonal paper. For Christmas, for instance, use wrapping paper.