As well as hearing intervals melodically (one note at a time), it is important to be able to hear them harmonically (two notes played together).
Even though you cannot play harmonic intervals on the saxophone, it is essential to be able to recognise them because they will be played by the keyboard player or guitarist in any group and you will need to know how to respond to what they are playing. A good way to develop this ability is to have a friend play random harmonic intervals on either guitar or keyboard while you identify them. Keep your back to the instrument while you do this, so that you cannot identify the intervals by sight.
Shown below are some harmonic intervals. Write the correct name below each interval.
For more practice with intervals, write and play the correct note to form each of the indicated intervals above each note shown here. Write the intervals harmonically for practice, but you will have to play them as melodic intervals.
It is important to work at these things regularly until they become easy. Don’t get frustrated if you can’t hear intervals accurately at first. Most people have trouble with this. If you work at it for several months, you will see a dramatic improvement in your musical hearing, and will be able to improvise much more freely as well as being able to work out parts off CDs more easily.