To round the bottom of the link, I slid the link onto a narrow pair of round nose pliers. Then using my thumbnails, pushed the link down to round out the bottom of the link. If the chain had been a different metal, I would have used chain nose pliers to push the link down onto the round nose pliers.
With the link still on the round nose pliers, I squeezed the jaws together to further round out the link.
I was left with a very pretty petal like shape, instead of the original paper clip shape.