Here's an exercise that has helped me a lot! At the address below you can find two midi files that play a very slow C scale and a very slow Db scale (for alto). What I do is play along in unison and try to make my note disappear, so to speak, into the recorded tone. Then i play along in 3rds, 6th, 5ths etc. it's like playing a slow duet with another sax player. (Each, scale, BTW, has two introductory starting notes.) I don't worry about staying exactly along with the scale, I'm only concerned about good intonation and tone.
http://www.southalabama.edu/mathstat/personal_pages/murdick/stuff/Community Music School/Tuning/
http://www.southalabama.edu/mathstat/personal_pages/murdick/stuff/Community Music School/Tuning/