I thought that would be the only way to do it?
Nope. I've seen several methods using plastic cord and a few different methods of using chain that I honestly thought were too tedious. Stuff like drilling a 4mm hole into the end of the chuck, then putting the chain into the hole and putting a thin metal rod through the side of the chuck to secure it in place. WAY too much hassle there. Another was cutting off the chain but leaving one link, drilling a hole through that and attaching the chain to the end of the plastic. It looked nice but it won't be as tough as the bails I used.
I think the bails sound like the best bet.
Precisely. I had remembered them from some Palisades Army of Darkness figures I had where they secured some fine chain to some weapon accessories and just needed to find the right chain to do it myself. Works great.