Depends a bit on the Sax synth you are using. If the synth allows Portamento then use that option and set the Portamento time to be realistic. Some synths allow for actual legato which is the best option. If you are using Kontakt and have the full version of Kontakt there is a script already in there that allows one to simulate legato.

The other way is to create a modulation lane for Pitch in your midi piano roll and very carefully draw in the pitch movements so that they end a the correct level for the next note (either half step or full step to arrive at the note). You might need to set the Pitch Wheel options to cover for more than a tone.

Just some thoughts

Tony

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