AnimationChainList files (.achx) files are fully supported by Glue. New AnimationChainList files can be created by right-clicking on Files and selecting Add File->New File.
Viewing an AnimationChainList in game
AnimationChainLists are ultimately lists of textures and texture coordinates. They must be used on an object to be seen in game. Therefore, if you are creating an Entity or Screen which includes an AnimationChainList file, you will likely also need to add a Sprite to view the AnimationChainList.
For information on how to add a Sprite to your Entity, see this page.
For more information on using AnimationChainList files in Glue, see this page.