Create an EXS24 instrument, and then go to the Library tab in the Media browser. Type in 'Sax' in the search window (not Saxophone, it won't come up with anything) and you should have several. I have two called Alto Sax, two called Baritone Sax, two Soprano Sax, two Tenor Sax, and one called Alto Sax Extended. When browsing in the Library tab for these, a couple are in Factory->Pop Horns, a couple are in Factory->Legacy Instruments (hence the repeats), and a couple are in the Garageband folder.
Hope this helps!