Hi swagger - are you taking lessons or teaching yourself? Two things to say anyway - firstly, your reed and mouthpiece combination should allow you to play at a decent volume (mf) without undue exertion. If you feel like you're really having to blow hard to get the instrument to speak then you need a softer reed / easier mouthpiece. Remember, the challenge of the saxophone as far as volume is concerned is to control it at a low volume, not a high volume. Saxophones are really pretty loud instruments and they will seize any opportunity you, as a beginner, give them to blare out wildly.
Otherwise, it's a matter of practice and familiarity - perhaps not unlike the phrasing and rhythm of speech. Most people have a sense when they're speaking of when they're going to run out of breath, and they phrase their speech accordingly, snatching a breath in the middle of a long sentence if necessary. Playing a wind instrument is not much different, really.
