Hi Robert - it all depends on how you encode it... If you export from FCP using Compressor then you can ask that the meta data for the chapters gets encoded as well. DVDSP will read this data and use it to create the chapters when you import it and drop it into the DVDSP timeline.
As for making the chapter menu, there are lots of different ways. One quick way is to drag the track icon from the outline view into a menu and hold it long enough for the contextual options to appear - select the one to make a chapter menu and connect the buttons to the track.
You could, of course, do it all manually... :-)