Hi rodrigo.b --
Not too much rocket science here. I recommend studying the instruments in a real world sax section and then layer the samples in YEM, one instrument per layer.
This sounds like a case where "less is more," that is, a few layers can go a long way. Too many layers would be too thick, unrealistic and unmusical. The balance between instruments is critical (set by voice element level). Also, one should pay attention to the natural instrument ranges, so the alto isn't overlapping the baritone, for example.
Hope this helps -- pj