I asked my teacher about this last night and she said basically what you've said, Nick. Go at it slowly a bit at a time!!!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.
Fair enough - someone else mentioned learning intervals by the first notes of popular tunes, examples here (supplement, minor second, first two notes of 'Pink Panther' theme). Imagining them is probably more use than recognising them by sight if you want to improvise - obviously if you're practicing sight-reading then recognising the interval on the page is vital.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.