I'd find an old-school pressure cooker, the kind that has a weight to manage steam pressure. Toss out the weight and attach vacuum hose to the fitting (or remove & replace the fitting). Get a cheap vacuum pump from auto-parts store (hand pump for vacuum bleeding brakes, I have one for my 55 Buick). Heat wax separately, drop chain in, place wax container and chain in modified pressure cooker, attach pump and pull it down as far as the hand pump will go. Shouldn't take much.
Alternative solution: same as above but heat the pressure-cooker to keep wax melted. Close up the cooker, blocking off all ports. When it cools down, you won't be able to get it open...but there'll be a nice vacuum inside!
By the time you get it open again, you'll have a nice block of wax with a chain embedded therein.
Propane torch will get the wax off...
I do like explosions...but modern pressure cookers have lots of fail-safes that you'll have to defeat first. Even then, you'll probably get a heck of a bang but no fire until the wax hits an ignition source.
Generally, the volatiles in wax shouldn't cause your pump problems unless you're boiling them off...which means you're taking it too far, temperature wise. You just want the wax liquid.