Start without the mouthpiece.
Keep your lips slightly open, touch the tip of your tongue to the roof of your mouth, just behind your front teeth. Then just make a soft 't' sound (like when you're teaching kids to read). Once you've got the feel of it, do it without the sound.
Then take your sax. Put the mouthpiece into playing position and blow. Then stop the sound, not by stopping blowing, but by putting your tongue back into that 't' position (it will now be against the reed rather than the roof of your mouth). Then just make the 't' sound to release the air flow again, and thus start playing your note.
That's the best way I can describe it.
It's not easy when you're starting out, but when you're used to it, it becomes second nature. Honest!