Cocked wah and a light fuzz seems like what they sound like to me. Depends on how authentic you want to get. I think the EHX Mel9 or Synth9 has a sax-sounding patch, no?
Allan Holdsworth did this really well. Any smooth overdrive will work, but the key is playing like a horn player. He used multiple delay lines to smooth things out.
Very little attack, and lots of legato playing.
The stock cheap Chinese pup's in my Grote Semi-hollow body (looked like EMG's, but were passive) were so dry sounding that with the right amp settings they had a Sax/trumpet-like tone..
Almost sounds like he has a slight noise gate on the initial attack to give it that breath/wind attack. When he does a run, you can only hear it on the first note, however.
The Triskelion is pretty interesting. The EH Mel9 doesn't track bends very well IME, bit too synthetic sounding I think. Holdworth is amazing, his legato is wild but not sure that's quite the sound I am hunting.
Pat Metheny used to get a very horn like sound on Off Ramp era. I always assumed it was an early guitar synth but I don't know. If he could achieve that in the 70s, I imagine we can do much better today.