I use dog choker chains. They don't break like ball chain will... and they will. I'm a minimalist maintenance person, so it was the best for me.
And you can learn the move with whatever you want. Socks are the easiest for hyperloop learning (and most forgiving) but I honestly think your not doing yourself any favors learning with them. It may help you learn the basic muscle movements, but when you transfer that to a fire poi set, things change... a little. But socks do have their usefulness for beginners.
Hyperloops can be done with anything you want. It's just a matter of learning the querks of the specific medium you chose to use for the "body" of th poi (Pulling terms from Spherculism here...). Some may argue that the odd shape of choker chain makes it more difficult. I agree, but once you can do the move with something as weird and unforgiving as it, you can do them with anything.
Learn the basics with socks. Apply to something rediculously hard until you master it there and you will be able to do it with anything. I strongly disagree with ANYONE who says that ball chain is the way to go. Too much of a risk of a head flying off mid performance, especially if you have any hard style spinning in your routines (Really fast, lots of power). Ball chain is just vastly inadequate. For me anyway, speeking from the point of view of someone who seems to destroy whatever I'm spinning with on a fairly regular basis.

Especially when airwraps are involved. I tend to snap ballchain on REGULAR wraps, airwraps add a substantial amount of stress to the contact point and will snap ball chain very easily after a very short amount of time.
I do however agree with what everyone else is saying: find what feels right to YOU. Experiment. These are MY findings with ball chain, and I'm sure many people disagree with me who use it all the time.