If you would like to change the thickness of your chain struts, select your original chain element, go into Edit mode, select the complete mesh with „A“ and then scale the mesh thickness with „Alt-S“.
When your chain elements are interlocking nicely, you can create real objects from your duplicates. If your chain design is consisting of a lot of elements, I suggest you save your file first. Then select the chain element duplicates and press „Shift-Ctrl-A“ this will separate all chain elements and create independent objects. Now you can delete separate elements.
However, if you go into edit mode, you will notice, that all of them are still using the same mesh data. In case you would like to edit that separately as well, select the chain element you would like to edit, click „U“ and Make Single User: Object & Data then you can edit the object mesh independently.
After you finished all your edits, you should delete the original design form and chain element, to export the final STL design for Additive Manufacturing/ 3D Printing.