Is it okay to chase a girl with a boyfriend?

No. She is in a relationship and is probably happy. If you approach her, she will either turn you down, let you talk to a possibly angry boyfriend who may not take kindly to you approaching her, or she may decide to sabotage her relationship to be with you.

How do you approach a girl thats already in a relationship?

Show her you care about her. You dont need to profess your love or say anything nasty about her current partner. Instead, just make casual small talk, ask her opinion about something, or talk to her about things going on in her life. Just paying attention to her will signal to her that you care about her.