Well, I guess this is the only step you'll have to take. Make sure that there are two holes in your cassette, most of the times it allready is. After that you'll open two rings of the chain [which is as long as you want to] and put them through the Holes in your cassette. After this you close them again and your necklace is done!
If you think it's kinda boring like this, you can also give it a Colour with some paint or you can glue some Rhinestones on it ^__^