I’m a sax player and most, if not all virtual saxophones always sound fake to me, again for the reasons stated by others. You can get good results if you write for the strength of the samples, but this will obviously dictate what is written. Ideally you would write what you want and then hire someone to play it and add inflections / performance elements around what you have written, or simply hire a guy to improvise / solo (we love to do that!) but this isn’t always feasible.
The best virtual saxophone I’ve heard is from sample modeling but you cannot play it like a keyboard, you must play it like a woodwind instrument, which means lots of midi CC control for breath, pitch bend, modulation, etc. this means on the keyboard you will be playing notes with one hand and riding midi CC faders with the other for your inflections. Takes some practice, but this is the only way to achieve realistic results, as unlike a keyboard, woodwind instruments are constantly changing volume, pitch, inflection / vibrato - especially while a note is being sustained. The notes are always moving, evolving, never static, which is what makes sample modeling preferable to static sample playback. http://www.samplemodeling.com/en/products_saxophones.php
That being said, you can get good results from straight samples if you are willing to write around them. The best sounding sample libraries I’ve heard are from VSL, though they tend to work best for more “Straight” playing: https://vsl.co.at/en/Additional_Winds_Bundle/Saxophones
Then there are numerous big band saxophone libraries, pop brass libraries, and even this sexy sax man library http://www.embertone.com/instruments/sensualsax.php It really come down to what style of music you are going for and finding the best too for the job, though in all honesty its always much easier & you’ll get better results simply hiring a real player, which is why I still get calls to record.
If you do not wish to purchase more libraries, a good thing to do is to listen to saxophones playing in a style similar to what you want and really analyze whats going on. You may even consider transcribing from the recording and try to play they same thing on you keyboard and analyze what the recording is doing vs what you are doing and where you are falling short vs the real thing. Trial and error is really an awesome teacher, especially when using reference materials. Again, the only short cut I know of is to hire an actual player.
BTW, you dont need to learn an EWI to get breath control. You can get one of these and still play your keyboard for note input, but breath control for dynamics like a real wind player: http://www.tecontrol.se/products/usb-midi-breath-controller