Challenging Chain Wild Draw Four's
SE Disclaimer: The current question regarding what happens to a challenged and improper wild draw 4 is unclear. My answer assumes that the "wild" part of a wild draw four is still in play (including whatever color was called.) 

The "jumping in" and "chaining" rules you refer to are house rules/variants. There is no official rule that allows you to take a turn out of rotation (that rotation may change due to skips, reverses, and other card effects, but there's no playing out of order.) There is no rule that allows you to escape the effects of a card by playing another copy of said card, and no rule that then doubles the effect of the card to the next player. The way to deal with this, then, would have to be house ruled as well, and I haven't seen a ruleset that actually does.

So then... what should it be changed to. I'm afraid that is quite difficult to say.

First, the reasoning behind the wild draw 4 (hereby named as the WD4.) The rule "prevents" the play of the WD4 in situations where another card could legally be played. It's the only card that has this restriction. This rule in particular showcases just how much thought went into designing this game. Without this rule, the WD4 is simply a "better and more flexible draw 2." Why would you ever want a draw 2 when there's cards that would be more painful and be playable in more circumstances? This rule adds that little kicker to the situation. A draw 2 can be played (assuming a legal pile to play it on) at any time, allowing for someone to "save" an uno from the next player. A WD4 is somewhat less likely. It provides a weakness to the greatest card in the game, albeit small. It even provides some interesting mindgames (you're on uno and the player before you plays a WD4. Now, if you draw the 4 it's a major setback. But if you challenge successfully, you're still in the game (though unless you got really lucky with the color call you would still be drawing 1.)But if you challenge unsuccessfully you're back to 7 cards and possibly out of the running. So, did I play in desperation or am I trying to trick you?) For a game that's usually a luck fest, that's a really interesting twist. (now if only they did that with the skip cards too...) There's also the other reason of reducing the take that effect, and giving players the out of "look, it's the only card I could play, I didn't mean to!"

So...with that in mind, how is the best way to play this? There's 2 ways.

1) Don't play with chaining and jumping in with WD4's, keeping everything else the same. This keeps the premise of the WD4: the nuclear bomb that you aren't allowed to control. 

2) If you really want those +8 moments, then do this: any and all WD4's played can be challenged, with respect to the card played just before the WD4 chain. (Using your example, the player who jumped in or you could be challenged, and if so it's on the basis of "could you play on a yellow 4?") If a WD4 is challenged unsuccessfully, the offender would draw 6 cards (the WD4 that was challenged + the penalty 2) and that WD4 would be considered "dealt with." The current player can attempt to challenge other WD4's if they wanted to.

If a WD4 is successfully challenged, then all WD4s played after the offending WD4 are cancelled, and returned to hand. (reasoning: the "penalty" for an improper WD4 should be known when the card is played. Read on...) The offending player must then draw for the WD4 he played, and any others played before. This puts the onus on the jumping in player, as they "accepted" the raised stakes (where as the first player had no clue what was going to happen.) The offending player is allowed, however, to challenge any WD4 played before their play (i.e. the jumping in player, if caught, could challenge the first player, with the usual +2 card risk. If successful, their play is cancelled per the above rules.)

In any case: if any challenge is successful then, after the cards are drawn, the player who made the successful challenge then plays the next card (with whoever played the most recent not challenged call picking the color.) If no challenge was successful, that player's turn is skipped (per the normal rules) and the next player is up.

I would personally increase the penalty for an improper WD4 by 2 cards if the WD4 was chained, as part of the nature of the WD4 was the fact you can't aim it, and chaining would allow you some aim. But that's just me, and would probably require some testing first.