A saxophone embouchure is formed by placing the top teeth about mid-way on the mouthpiece and applying the lower lip as a cushion on the reed (lower part of the mouthpiece). The upper lip muscle is then pulled downwards around the mouthpiece. Think of the upper lip as a clamp and the lower lip as the control. The saxophone embouchure may be described as an "O" shape. Note that the jaw should be dropped and the throat open. Practice this by singing a very low note, this is similar to how your embouchure will be while playing. For a better tone, practice keeping the corners of your mouth drawn in an "O" shape around the mouthpiece, sealing the air from all sides. This may not feel natural at first, but with practice it will become second nature.
One common practice technique for embouchure is called Long Tones. The idea is to play long controlled notes. While doing this it is helpful to imagine the air leaving your mouth and traveling through the saxophone to your listener. One good LT exercice is to start on the mid-c# then D the expand with each following note, C#-D, C-Eb and so on until you have played through the full range of the saxophone, then reverse until you're back a the C#.
There are other embouchures that can be used to produce multiphonic sounds.
Breathing is extremely important in sound production. Breath with your stomach region, using the abdominal muscles to assist in the blowing. When taking a breath, breathe through the corners of your mouth so as not to disturb your embouchure.