Remove skin from chicken. Cut meat from bones and coarsely chop it. In a large saucepan over medium-high heat, combine barbecue sauce, pineapple preserves and chili powder. Add chicken and cook, stirring, until just simmering and heated through, about 5 minutes.
Warm bread in toaster until just lightly toasted. Remove chicken from heat. Place 8 slices of bread on a work surface; top each with a lettuce leaf. Spoon some chicken on top. Top with bread and remaining lettuce and chicken. Top with final slice of bread. Secure sandwiches with toothpicks and slice in half. Serve immediately.