Taking items from around the house that were mainly one color, I then sorted them into two baskets (saving green and red for a later date). At first I had yellow and green colors to sort, then realized at this age the colors may be too similar and went with yellow and blue.
After demonstrating the activity and verbally labeling the colors for him, I dumped the baskets, mixed the items and let him sort. I was surprised at how well he did with this activity, though (of course) after a while it became all about filling the baskets and dumping them all over his lap! Though many of the items were toys of his, I was able to find other household objects that were new to him which he also enjoyed exploring, such as a candle, hair ties and a beloved jingle bell from his old Christmas display.
For older children and those who are more adept with their colors and this sort of activity, using four baskets of colors would be appropriate.
[Excuse the poor quality of the activity photo -- my camera was in the bedroom where my poor husband was trying to sleep off the cold that has gone around our family this week. We're slowly on the mend!]