Lots of saxophonists use or have used effects boxes with their saxophone. Some my favorite recordings of the Brecker Brothers from the 70s where he uses and octavider and an envelope filter for those sounds hear on the recordings.
Dean Mongerio has a pretty sweet pedal setup I covered before. It is worth checking out.
My current setup is a Q-Tron like Jeff Coffin, and a Eventide MixingLink which I love. The MixingLink allows we to blend the Q-Tron with my sax sound, and I can bypass the Q-Tron all together. That is helpful as my Q-Tron has no Redlight to tell me it is currently engaged. I am looking to add some sort of Harmonizer. If I had the $$$ I would get the Eventide Pitchfactor or a Eventide H9. Though the Boss VE-20 looks interesting…..
What effects pedals are you guys using?