rings as connectors but you could also connect the link however you plan to use it and then do the wrapping to secure it.
I used 18 gauge copper wire for my project cut into 5" pieces. The handle of a screwdriver with the square shape I wanted was perfect as a mandrel. Start with the wire at one edge and simply begin pushing the wire around the handle until you end up opposite the edge you started at (you will wrap around the handle 1-3/4 times).
Using round nose pliers grab one end of wire and begin forming a tight spiral....switch to chain-nose or coated pliers to continue forming the spiral. I stopped the spiral slightly in from the corner. Repeat on the other side.
This is what you should have when both spirals are done.
This is where you would link it onto another piece before wrapping if you didn't want to use jump rings for connection. Now, you need roughly 8" of 24 gauge wire to wrap. Simply coil the 24 gauge wire between the spirals to secure the link.
Here is a picture of how I used the link: