Necklace is not included. They have different options and lengths that you can choose from.
Or just go to your local craft store (michaels, hobby lobby, joanne's) and buy one with a 40-50% off coupon. The cage at Epcot is sterling and I know at least Hobby Lobby sells sterling jewelry supplies. Not sure about the others.
There's an older thread about it on DIS boards somewhere (i think someone linked to it with the images and prices) but it's 100+ pages long that say it's very worth it. People suggest you do the one at Epcot and not the one at Downtown Disney because the one at Epcot is more interactive and the people are nicer and not pushy with sales.