OMG HAO DID THIS BCUM THE GRAMMR THREAD?
Seriously, though, sax is a great instrument. And improvising? It takes a while. I don't play sax, but I'd suggest you just get a song, you get it's key (preferrably C, or B flat if you have one of those brass instruments that is weird like that,) and just play random notes on the C pentatonic scale. That would probably be C, D, E, G, and A, unless you have one of those weird instruments, in which case it would be B flat, C, D, F, and G.
It's also useful to know the chords ahead of time. Then, eventually, you would start realising things that can improve your soloing.