The late Michael Brecker played alto sax on the Dire Straits Album Brothers in Arms, then on the Mark Knopfler Soundtrack, Local Hero, which is best known for Going Home, with a really memorable sax passage (which admitedly may not really qualify as a sax solo).
It's hard to find a decent online version of Going Home and the best I could do is this live version from Sydney in 1986. I believe Chris White was on sax for that concert for a mournful duet with Knopfler's guitar about half way through the track, which with the guitar and other instruments gradually winds up the pace. There is rapturous applause at the end of the track which was often played as an encore in later Dire Straits Concerts.
Chris White also played Your Latest Trick in the same concert.