A while ago, I had a
Spider Man Key Chain and wished to remove the keychain bit so that he was a free minifigure. First, I researched how and came up with some videos showing people doing this with pliers. I was able to get the keychain down to the tiny nub that holds the main screw into place, but with no amount of twisting and pulling could I get the screw out.
So I invested in a very cheap soldering iron. I'd never used one before and was uncertain of what the results would be, but I just desperately wanted to win over that bit of metal.
To remove key chains, all I do now is plug the iron in, hook it around not the ring attached to the screw, but the one just above that, and lightly twist and pull until the screw comes out. I don't hook the iron in the ring attached to the screw because I think the iron is then too close to the figure and it seems easier for the iron to slip and accidentally burn part of the figure. Also, you would need pliers to get it down to that screw nub and I don't want to bother with that.
Some of the screws have come out easier than others, and thus the end result looks different on different figures. Using this method, you are using the metal screw to heat up the plastic Lego and make it pliable enough to move.... in other words, you are melting the inside of the figure. So you need to be careful and do it as quickly as you can.
I've 6 figures now that I liberated using the iron and somehow I, someone who had never done such a thing before, have not messed it up. Overall, I find the process fun and hope you will consider trying this as well if you are like me and want figures free from chains. Good Luck!