Unlike piano players, it's hard to accompany yourself on a sax. 

Finding other musicians to practice and/or perform with is the ideal situation. Where that's not possible, there are some excellent play-along books with CD's that provide you with a rhythm section to play with. Many of these books will write out the tune and chords for instruments pitched in concert, Bb, Eb and bass. The Bb versions are used for tenor or soprano saxophones, the Eb versions for alto or baritone. 

There are also software applications that allow you to enter the chords for a tune and then generate a backing track. One of the advantages of these is that you can then easily vary the key, tempo and style of the accompaniment to challenge yourself further.

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