Creating separate timeliknes is one method. Using overrides is another, but proves difficult for many users.
The chapter playlist is the option you should try, and then you can decide between it and separate timelines.
Create a CHAPTER playlist, put one chapter in it, then link the chapter button to that chapter playlist. There will be one chapter playlist for each chapter. Each chapter itself has no end action set, and you set the end action for each chapter playlist to "last menu."
