I have the 4-CD Proper Box "The Big Horn: The History of the Screamin' and Honkin' Saxophone" box set and it is awesome! Is there a lot of overlap with the Delmark "Honkers and Bar Walkers" set?
I own the Jazz Chronological Classics Illinois Jacquet series and the Jazz Chronological Classics Earl Bostic series which are both excellent.
I have really enjoyed listening to the Sirius XM channel Carolina Shag station (channel 701, I do not think you can listen in your car but it is available streaming). Lots of songs feature wailing sax solos. I especially like the Wyonie Harris stuff where almost every song of his features a sax solo. Same with Hank Ballard and the Midnighters, The Chords, and the Checkers. Lots of great stuff on that channel.