The Flying Luttenbachers use saxes among other stuff
https://www.youtube.com/watch?v=_fXCBd4aKj8&list=PLcGYdba87gPfDiTpSxDZxR8PTScL1AB2C
They need the link.
Also, Weasel Walter played with Behold The Arctopus for one album (Horrorscension)
BTA doesn't have any sax, but as you can tell, I like them.