Save up all your steel (jar lids, food cans, etc.) and run it out to the recycling center once in a while. Or maybe there are recycling bins near one of your usual routes to work, shopping, etc.

If you're recycling for an environmental benefit, then fuel expenditure is a real part of the equation. Don't mail your chain to someone else or drive to the recycling center with nothing but your chain. But I can't believe there aren't recycling bins somewhere near you. The scrap yard will definitely work too, although I doubt if a chain weighs enough to be worth even a penny.