The GZ125 never came to North America.
I believe the bodies are the same.
You have to cut the chain to remove it.
You will have to use a master link to put the new chain on.
The sprockets are easy to remove and change out.
There should not be lot of difference in prices from a dealer or parts warehouse .
The 250 really does not pull the 16 tooth sprocket well.
The workshop manual will give you all the information that you will need.
http://www.motonet.biz/eshop/front-sprockets-jt/