Well, the Sax is a difficult instrument to sample well. You may be searching quite a while. The Quantum Leap Brass CD Set may be what you're looking for though. It has a nice breathy Tenor on it. The Trumpets and Trombones are where it really shines. It has some amazing solo trumpet and trumpet ensembles on it.
It may be a little expensive ($650 US for 5 Akai format CD's) but IMHO, it is well worth it.