The first two links are instructions for basic jewelry making at About.com
http://jewelrymaking.about.com/library/weekly/aa081098.htm
http://jewelrymaking.about.com/od/beginnerscorner/u/Basics.htm
These 2 sites have pictures of beaded stitch markers to give you an idea of what they look like. (I have not done business with these sites.)
http://www.needletrax.com/knittingzone/markers.htm
http://deniseknits.typepad.com/markers/
Fire Mountain Gems is a very company to do business with. www.firemountaingems
A head pin looks like a big straight only with a blunt tip. You need one for each marker. An eye pin is similar but it has a small loop on one end instead of a flat head. You will need these for a chain. An alternative would be thin wire for the chain, about 20 gauge but no smaller than 24 gauge.
I made my markers on a head pin, using a 3 mm bicone bead and one or 2 seed beads, then a simple unwrapped loop at the top, using round nose pliers to make the loop. Then I attached a jump ring to the loop, closing it evenly so that there were no snags to catch the yarn; I did this also with the unwrapped loop of the head pin. Instead of a bead you can use a small charm. It's usually cheaper to make your own, depending on the supplies you buy. Swarovski crystals and gold or silver jump rings is the expensive way to go, plastic beads and ordinary metal jump rings is the cheap way to go. The crystals and gold are prettier and won't tarnish.
The chain is made similar to the marker - essentially it is several markers linked together. Use one large bead at the end on a head pin, then one or two smaller beads, and make a simple unwrapped loop,attach a jump ring to the loop. For each section, use an eye pin, a bead or two, make a simple unwrapped loop, and then attach a jump ring. Link the eye of the eye pin with the jump ring to hook the sections together Do this for however many rings you need to count your pattern rows, with a jump ring ending the chain. You will need to get jump rings big enough to fit loosely over the needles you will be using for your project. I don't think there are jump rings big enough for the needles like size 9 or bigger, I haven't checked into this though.
If you need help with this let me know. I really enjoy using mine, much prettier than a plastic barrel hanging on a needle.
There is also a version of the chain called an Abacus chain, which uses a larger wire ring attached to the chain to count larger numbers in the 10's or higher. However I haven't been able to find instructions on how it is used, so if anyone knows, speak up. There are beaded bracelets that are used for row counting, that slides beads around on the cording. I haven't used these but they sound like an interesting idea.
Edey