This question comes up about a several times a year on the board. And it's due time that we put the answer where we can find it!
Sheep girl rings are just little 2mm stainless steel rings you tie on the end of your leader. They sell in packs of 10 or 20 for $5-10 bucks. A few companies market faux sheep girl rings under the clinical name of "Tippet Rings" and categorized as leader accessories.
For that you have to ask Zoran the Magnificent! Beguiling sheep girls tend to their flocks in the idyllic meadows and along the lush banks of Zoran's homeland in Serbia. The most prized of these young beauties bear fine silver chains around their slender necks. Wooing the sheep girl and charming away the silver chain requires a master's touch (again ask Zoran or maybe his apprentice Paul). The links from these chains are imbued by the sheep girls and are far more effective than standard tippet rings.
Tippet rings are used as the junction between the leader and tippet to prevent the constant shortening when retying tippet in an otherwise sound leader. In addition, some connections become much easier and all sorts of different rigs can be created. Good design will always have the leader to tippet ring knot stronger than any below it so the ring is never lost.
The rings are very light and won't sink a dry. Problematic connections associated with diameter differences or differing materials (mono to fluorocarbon or even spectra braid) are completely avoided. Some Czech nymph rigs use spectra from the line to tippet ring, then fluoro to the flies. Droppers are easily added or removed at the tippet ring; even the small 2mm rings can accommodate a few separate knots easily. Knots can certainly accomplish these connections, but a tippet ring often makes them easier.
The hardest part about tippet rings is storing them. They immediately vanish into carpet, floorboards, or dirt. I've used a fine wire safety pin (lightly waxed so they don't slide off easily), but have lately kept them on piece of wire poked through the foam in my fly box. Tying the leader onto the ring before removing it from the storage wire will save a lot of grief.
Give one a try if you can pry one of the lovely shepherdesses away from their flock.
Eric Wonhof
Dec '07