The best way I've found to make a standalone executable is to compile my scheme program into a .boot file and embed it, along with Chez's .boot files, into a small C program that then calls the scheme program.
All of the necessary functions to create such a C program documented here:
https://cisco.github.io/ChezScheme/csug10.0/foreign.html#./f...
The relevant functions for this applictation are:
Sscheme_init
Sregister_boot_file_bytes
Sbuild_heap
Senable_expeditor (if you want to use Chez's builtin REPL)
Sscheme_start
Sscheme_deinit
I'd post an example program, but I've not got access to my development machine at the moment.