Scott...

Two points about playing with a SMF. First, there is a difference between SMFs and SMFs! If you have any doubt, go to:
http://www.manythings.org/midi/search.html

and type in a song title. In most cases, you'll find several midis of the same song. After downloading and auditioning a few, you'll see what I mean. Better yet, check out some professionally made SMFs, like from Styles & Music:
http://styles-music.com/default.asp

and you'll hear a marked improvement. So if you're playing with SMfs, use the good ones.

Secondly, a big advantage to playing with midis, is that you can concentrate on playing the full keyboard. Check out some mp3s by Esh... I believe that's what he's doing and it sounds great.

Furthermore, with a free left hand, you can continually work the the pitch and mod wheels when playing sax (and certain other instruments, like blues guitar), which IMO is the only way to sound like a sax. Between playing full piano and sax (which I love doing on the SD1) this works great. And you're definitely not faking it!

Glenn