Since I didn't, I did some googling and found this idea here. Since we did knots this month, it was an appropriate activity for the boys.
I bought some synthetic clothesline- synthetic rather than cotton so the ends could be melted together. I originally intended to spray paint the rope, but it's been so cold and wet recently that spray painting outside just wasn't feasible. Instead, I used slightly watered-down acrylic craft paint. I let the rope soak in the paint for a little bit, then carefully removed each piece and laid them out on pieces of foil to dry overnight.
The next day, I cut the blue rope and the yellow rope into equal lengths and carefully melted the ends so they wouldn't fray. After that, it was just a matter of interlocking a blue piece of rope and a yellow piece of rope in a simple square knot. Then I hot glued the knot to a piece of conduit (the same conduit we've used on almost all of our slides- that one 10' piece isn't even half gone).
I did most of the prep work ahead of time, so the boys only had to do the knots and gluing. We just didn't have time for them to do the painting and I wasn't going to let 8 year-olds melt the ends of the ropes :)
The one thing that didn't turn out quite as I wanted: the blue paint rubbed off a bit on the yellow rope. I blame this on the acrylic craft paint- I don't think it would have been a problem with spray paint.