Hardware store chains aren't that bad. Just get the highest strength you can find and then try cutting it with some bolt cutters that should be nearby for chain cutting. I tried this at Lowe's, cut one chain in 2 minutes and moved up to the next size larger chain. This was 5800 lb test or so, and it took 8 minutes per side with hydraulic bolt cutters. That being said, yeah a lock buy you time, in this case 16 minutes vs. 2.
For a sleeve I got some fabric for 28 cents and used a sewing machine for the rest. Very sturdy and heavy too.