OK, some tips for ear training without the aid of the internet:
1) Choose a tune you like that is simple, and repetitive, and you have a copy of to play on a cd player, mp3, etc.
Examples off the top of my head: In the Mood (Glenn Miller),Sweet Home Alabama, YMCA, Fight for This Love (Cheryl Cole) etc. etc.
2) Play the track through to the repetitive bit (usually the chorus) and pause after the first note.
3) Grab your sax and try to find that note (doesn't matter if it's the same octave or not) - when you've got it write it down if you need to.
4) Release the pause on the track, then try to play that note each time it happens in the repetitive bit
5) Repeat steps 2, 3 and 4 for the second note.
6) Repeat steps 2, 3 and 4 for the first and second notes.
7) Keep going until you've got the whole phrase...
There's no quick fix for this (as in so many aspects of music that seem so simple when you watch someone else do it) - it's Training. Like training for feats of sporting excellence or endurance, it takes a while, so don't worry if it doesn't happen quickly.
I understand where your coming from Nick. However there are plenty of times when I could practice using the web when I can't play my Sax, i.e lunch breaks at work later in the evening. It all comes down to putting the effort in to get the rewards I'm hoping that the web will assist with this process.