If you were my student, I would have you begin by working on your basic sound. I am presuming that you are playing alto saxophone and have already found suitable equipment (instrument, mouthpiece, and reeds, along with other needed accessories) and are able to get a sound generally.
Start by playing only the mouthpiece (with reed, of course). Make sure you are somewhere that you can play loud without problems. Play a fortissimo note, and sustain it, trying to keep the pitch from wavering. Once you are making progress on that, try to achieve a concert A (on piano, it would be the A just above the treble staff) on the mouthpiece. The pitch of the mouthpiece is mostly controlled by the position of your tongue within your mouth and also somewhat controlled by your embouchure (the muscles of your face that control the lips around the mouthpiece). It is difficult to generalize without hearing you and working with you, but if your pitch is too high, you usually need to lower the tongue position and perhaps slightly loosen your embouchure. If your pitch is too low, raise your tongue position and slightly tighten your embouchure. When I talk about loosening or tightening the embouchure, imagine the embouchure as a circle around the mouthpiece. Make the circle smaller to tighten the embouchure or larger to loosen the embouchure.
You will likely need to return to the mouthpiece alone at the start of each practice session and possibly several times throughout your practice session. But, once you have worked with just the mouthpiece for a short time, put the mouthpiece back on the instrument. Play the same way that you played with the mouthpiece alone. Make sure that the mouthpiece is pushed onto the cork to a position where the saxophone will be approximately in tune (written F♯ on the fifth line is good to try to tune to A440, provided you are using A440 as a pitch standard).
The best thing you can really do is to find an experienced saxophone teacher to help guide you through this process, as it is much easier to go through it in person than through a web forum such as this one.