Good job! You should post your pics in the "AC3D Work In Progress / Showcase" thread so people know they're here.
For shaping the chain, what you really want to do is start with a polyline in the shape of the curve you want to follow. There are lots of tools in AC3D that allow you to form or manipulate objects along a polyline.
Here's a thread on making a curved chain using a polyline and the greeble tool you might find helpful:
http://www.inivis.com/forum/showthre...ighlight=chain
For the spiked sphere, the way you describe making it is a fine way to do it. The alternative would be to create a single ball, switch to surface mode and highlight just those surfaces you wanted spikes on. The spike tool works on a per-surface level, so you can pick and choose some surfaces and omit others. This will leave you with one object that's cleanly merged, although for something like this having the spikes penetrate the ball doesn't hurt anything.
To delete the extra faces, hide the outer ball with the hide button. Then switch to surface mode, highlight the surfaces you don't want from the spike ball, and press the delete key. When you're done, click Hide > None to display everything. Optionally, when you are done you can merge the two objects together with Object > Merge to link them permanently or group them with the Group button to link them temporarily.
For the ax head, the basic shape is not bad, it just seems a little thin. Try extruding it to give it some thickness along the blade, then snap the vertices along the edge to keep the edge sharp. You can also use Surface > Spline to smooth it out. The spline tool is a good way to make complex curves, too.