You said the retreat had a western/cowboy theme. I'm reminded of the two cowboy brothers on this year's Amazing Race. I especially remember when they had to throw a rope (lasso) over steer horns mounted on hay bails. They beat everybody else hands down.
Perhaps you could have people bring a fat quarter, half yard, yard,-- whatever -- group several together with ribbon, rubber band - whatever - set them on a table spaced apart and then people could take turns trying to 'lasso' a group to then use to make pillow cases or just as a prize. I've never been to a retreat so I really don't know what kind of games or activities are appropriate. And even though I was born and raised in Texas I'm having a really hard time thinking of western/cowboy activities. I'm trying to come up with something related to chili, or Tex-Mex food -- we all love to eat, don't we? But I can't seem to relate that to fabric or quilting. I'm feeling really brain dead right now!! Good Luck.