If a sequence is going to be burnt as a video DVD, chapters can be added to the DVD by setting bookmarks.
First, add bookmarks to your timeline:
Right-click the timeline at the position where you would like the chapter separator to be and select Set Bookmark.
Change the name and color of the bookmark if you like (this will not affect your DVD chapters), then click OK.
Repeat the above steps for every position you want to start a new chapter. Each bookmark will be used as a chapter separator.
Second, choose to export your movie to DVD:
Follow the instructions in Saving, Sharing, or Burning a Video to burn a DVD.
A dialog will appear, asking if you would like to export your bookmarks as DVD Chapters. Select Use bookmarks as chapters.