Pick a well-known song that you want to play and determine if you need any other instruments to play along with the alto saxophone. Obtain the sheet music for your song. Find alto sax adaptations of popular songs online or you can buy a book of collected songs.
Practice your song until you can play it fluidly all the way through. If your song requires other players, make sure that everyone is comfortable with their part. Pay special attention to timing and any breaks, hits and turnarounds.
Play the song in public by organizing a concert or an informal performance. If you have stage-fright, the best way to overcome it is by playing many times in public, until you become accustomed to performing.