Hi tuscab,
sorry, can't resist to advertise my serenade in four movements for flute, oboe, clarinet, tenorsax and bassoon again (several threads were I chimed in this way - if someone wants to play it, drop me a line):
(midisounds with score)
I know that the great Victor Morrosco composed a woodwind quintett with alto sax instead of french horn. I decided to go the tenor way because Imho the tenor range fit's better.
I'm a big fan of Charles Koechlin who often wrote for sax, but I'm not aware of a composition with only woodwinds.
Here a beautiful piece for flute, alto and piano: