We describe the implementation and tests of sink particle algorithms in the Eulerian grid-based code Athena. The introduction of sink particles enables the long-term evolution of systems in which localized collapse occurs, and it is impractical (or unnecessary) to resolve the accretion shocks at the centers of collapsing regions. We discuss the similarities and differences of our methods compared to other implementations of sink particles. Our criteria for sink creation are motivated by the properties of the Larson-Penston collapse solution. We use standard particle-mesh methods to compute particle and gas gravity together. Accretion of mass and momenta onto sinks is computed using fluxes returned by the Riemann solver. A series of tests based on previous analytic and numerical collapse solutions is used to validate our method and implementation. We demonstrate use of our code for applications with a simulation of planar converging supersonic turbulent flow, in which multiple cores form and collapse to create sinks; these sinks continue to interact and accrete from their surroundings over several Myr.