One day when I was about 13 years old, I went up to Herman Riley and asked him about sound on saxophone.  I wrote down some key ideas all related to saxophone sound, here are the notes I took about components of sound:

Breathing
Listening
Posture
“Round”
Intonation
Embouchure
Setup
dynamics
feeling
tone
articulation
tonguing
phrasing
vibrato

-Herman Riley

So there are a lot of parts to sound!  Herman Riley taught us a long tones exercise which I do everyday.  He also told us to breath with our stomachs- like babies do naturally.

Posture affects breathing too.

Don’t get overwhelmed with all of these things, but keep them in mind and gradually you can work on all these elements in improving your sound on sax.