For many years I experimented with various setups of electronics for the sax, basically by using a clip on mic via the effects, generally guitar pedals, and also having a mic so i could also have a "natural" acoustic sound...as much as it can be using a mic and Pa.
Genaral effects used :- Distortion - Wah - Harmoniser - Phase - Delay - volume ( A most important pedal as you can feed in/out the effected sound to mix with the natural sound )
You need to try out many types as they all sound different, and figure out the correct order for example dist to delay or harm to wah etc to get the results you may want.
I eventually ended up using the above plus some more on a custom made pedal board, plus a midi controlled stereo effects unit going to 2 small amps, positioned either side of the stage for stereo fx. A complicated set up, but great sounds.....feedback, delay, distortion ....the works..!
But to be honest I reached a point were I found that I was playing the fx more than the horn and subsequently returned to just playing "straight".
Occasionally if asked I will get the effects out to add "atmosphere" to a track, but generally I try to play "pure" sax as much as possible, for the simple reason..that is the sound I like, that is why I started playing the sax.
But its fun to try and now days you can pick up all in one fx units that are pretty good, one reason for using seperates though, is control over individual units by the flick of a switch as opposed to pre-programing, as in gig situations between sound check and gig all will change...