I want to see in a cut-scene a depiction of a keychain being swiched out on a keyblade. We have a basic understanding of how they work, but no one ever talks about them in the game. Even the 'basic' keyblade have keycahins. I think the keyblade graveyard is the only exception.

 

The closet we get to this is Kairi giving Sora a good luck charm, which grats you the Oathkeeper Keyblade, which has that charm as it's token.

 

I bet if they did, the phrase "chain of memories" would be used in reference to the Keychains. The memories of other people give the keyblade new powers.

I believe you're probably right about that, but perhaps the physical keychains aren't always given as they are in Oathkeeper's case? What if, through an understanding and connection with a world or its inhabitants, you gain the ability to transform the keyblade into a form taken from those memories? In that case, the keychains would simply be the emblem signifying that change.

In the opening of BBS, you can see a keychain form Starseeker