On an unpeened chain, it's not problem. If the chain is peened, use a masterlink. Shearing the peen can make it unstable.
http://www.parktool.com/repair/readhowto.asp?id=25
The KMC 3/32 chain I run is unpeened, and I suspect the one you have isn't as well, otherwise the shop hopefully wouldn't have recommended adding links.