If I may speak from my experience, you should probably add a liner around the weight, whichever sort you choose. I added drapery weight to my "Sport Watch" kilt and a couple of years on, I've added strategic bias tape to cover the wear from the friction of weight against fabric. I also put the weight in in sections to allow the pleats to fold correctly. This was all after using weight that was already fabric covered.
I was adding the weight to an existing kilt so I already knew where the folds were. Chain might work, but the links are likely to distort the pleats as well.
Bob