Hi Francesco,
Well, another possibility is to open open PDB files with just ACE/NME and use the "Join Models" tab of Build Structure to connect them to the N/C terminus of your chain. Select the N/C of your chain and the C/N of the ACE/NME and use the "Form C-N peptide bond" option of the Join Models tab and click Apply. If the ACE/NME didn't have the right residue number you might then need to use the Renumber Residues tool to get the numbering you want.
Also, unless you use the build that come out tomorrow you may get an error message as you select the N in NME. It's a harmless error that you can ignore.
I've attached PDB files of isolated ACE and NME residues for your convenience.
--Eric