I never start the day saying “hey, wouldn’t it be gnarly to run out of slings half way up a climb” but sometimes it happens. Normally I climb with doubles so setting up a two piece anchor isn’t a problem because I just plug some gear and clove hitch each rope to a piece. Problem solved.
When I was climbing The Nose over at Looking Glass I didn’t get so lucky. That day I was climbing on a single and when I ran out of slings on pitch 3 I was kind of at a loss for setting up an anchor. I managed to rig something that was “safe” but was anything but textbook which kind of bothered me. After doing a little digging I realize that what I should have used was a bowline on a bight.
I learned this climbing knot from Rick over at Cremnomaniac. His blog is relatively new but I am really digging the wealth of knowledge he has shared in just a few posts. If you have some time I would highly advise reading his Trad Climbing Techniques, Tricks & Tips article. It is a damned good read.