Here is how I made a set of fitness rings using grey Sch 40 PVC conduit. I was inspired by this Instructable and various comments posted on it: http://www.instructables.com/id/How-to-make-PVC-gymnastic-fitness-rings/
Rather than using regular PVC pipe, I decided to use grey conduit as it is designed to be bent when heated up. I also used fine-grained "play sand" because it can be compacted better than most sand you would find on the ground (unless you live at the beach), resulting in fewer air pockets and presumably a reduced chance of the pipe kinking. I have a small oven that is not large enough to fit the lengths of pipe so I describe the steps to compensate for that.
Overall, this process was much simpler than I had anticipated. Once all the materials were in-place, it only took me about an hour to actually make the rings and they seem very strong.