Well if you can weld and hammer some sheet steel, all you need is a couple of spare shaft seals and a couple of hours work to make up a simple tin box with a plug in the bottom and a filler cap at the top. Fill it with oil and forget about it until you need to change the oil or check the chain.
If you wanna get real fancy and 'bling', hook up with Doug or one of the other flash machinists around this place and have something machined up from billet alloy, with some sexy heat dispersing fins on it and get the whole thing chrome-plated to really blow peoples sunglasses off their faces.
As for the air method, you need fans, ducting, power supply taken from the harness, switching for the power supply etc. etc. etc. And after all that, yes, you may reduce the temperature of the chain, but you are still missing two other advantages of the oil bath - the chain is always lubricated, and it is out of the mud and sand, so it will wear much slower.
