What type of cukes do you use? I grow the Bupless and they definitely don't need any kind of support outside what the vines already give it; the fruits just aren't heavy enough. Of course if you are growing a larger variety I imagine you just might need to. I would recommend using nylons. I've found that cutting sections about the recommended length of the fruit and then tying a not on the end holds up the fruit well. Hang the nylon from your trellis with hooks (I use T-post hooks), unless of course your swing set doesn't have anywhere to hang stuff from.