Ed Elleyne Johnson of New Model Army & the electric violin concerto, oh yes. He was using looping delays ans lots of reverb, plus occassional overdrive. The first two are definately a go-er- though driving anything microphone related is asking for feedback trouble. The main thing with E.E.J's is his looped echo, loads of companies make loop station pedals, technically very easy to use but require very precise timing and a a certain way of working (overlaying very simple lines, I'd even experiment with slap tongue percussion effects for your first couple of loops) to make the most of them.
Harmonizer pedals work well on sax, but only the ones intended for vocalists.....
Check out Dana Colley from Morphine for some great use of effects on sax (especially the Solo in "Free Love", I've never been able to work out exactly waht he's done with his sound on that one).
I use a Digitech box for gigs - you can programme almost anything you can think of into it, but it doesn't do loops. Delay, reverb, doubling etc are all available, but programming is very much a trial and error exercise. You just have to be careful not to overdo it - the punters love listening to the sound of the sax and if you start corrupting it too much, it loses some of it's attraction.
really the only effect you need for playing live is a good delay that will alow you to get a "slap back" effect.. this is the way to make a sax sound like its in a reasonable size room even full of people.. what you need is a delay effect, set it to one repeat and set to between 90 to 130ms.. anything above this sounds fake..dont be tempted to use a big reverb cos it will just sound mushy and fake..unless your going for the big reverb sound.
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...