I used 3.2mm ball chain from Chain Gallery, and the coordinating ball tips. I find it easiest to do this wrap with 22 gauge wire. Because the loop is doubled here, it's pretty sturdy.
To start, apply the ball tip connector to the chain. It's pretty easy--it's just a clamshell tip basically, and you close the clam part over the last ball in the chain and squeeze it tight closed.
You can trim it there, or bring it back up. I like to bring it back up so I can tuck the end into my loop--that way I don't have any scratchy cut edges hanging out. Plus I like the way it looks.
The Cerebral Dilettante