http://www.youtube.com/watch?v=vTo1XfoPIvQ

I did it a bit differently. Didn't cut the heat shrink.

Just put some 6 cm shorter one, pulled chain through it, then heated it. I had 3 cm of chain left hanging out of the shrinked heat shrink.

I then put some 10 cm more heat sink over the shrinked heat shrink. Then I put the chain in place, locked it with the chain tool.

Only after this, I dragged the 10 cm piece of heat shrink over the uncovered part of the chain (some 6 cm was left exposed), and then heated that part too.