This is a bit off-topic, but the first thing that popped into my head at the term "method chaining" was the common Smalltalk idiom for what you are trying to do:

| myObj |
myObj := SomeClass new method1: foo;
                       method2: bar;
                       yourself.
[download]

I always thought it was very elegant and concise. method1 and method2 can return whatever they want. The yourself then hands back the newly created object.

Of course in Smalltalk, you would have to write separate getter and setter methods (though you could overload the method name).