@BrendaP This is a cunning little project! Just for clarification, though, it looks like you're sewing them up purl side out. Is that correct?
Also, I'm having trouble imagining how you join the links of the chain if you're knitting on double-ended needles and (therefore?) in the round. Is there a trick to this or have I got the wrong end of the stick entirely?
@HenriettaMaria Yes, it's purl side out. Stocking stitch naturally curls that way on a short wide piece. On a long narrow piece it will roll from the sides with knit side out.
To work on four (or five) needles you cast on, re-arrange onto 3 (or 4) needles making sure the edge isn't twisted.
Assuming you from left needle to right needle.
Before knitting the first stitch slip the previous link around the left needle.
Knit the stitches on that needle.
*At the needle change slip the completed link onto the new left needle and knit the stitches on it.
Repeat from * until six rounds have been knitted.
Cast off, still moving the link to the new left needle each time.
I am used with knitting socks on 4 needles but my experience was that slipping the previous link around the needles was quite time consuming and given that all the ends need darning in anyway it really is quicker to use two needles and just sew the two ends together whilst darning in - though don't look closely at the sewing it's not done with the care and attention that a garment would get!