Plug in and adjust volume to the saxophone player's acoustic volume. If either the guitar or sax is off, someone will be dominated and feel left out.
Pick something to play on. You can either pick a song you both know how to play, play on a certain chord progression or play within a certain key. Songs with both guitar and sax can be found in rock, ska and jazz genres especially. Simple chord progressions to play on are blues progressions. Playing in a key only requires that you pick a letter from A to G and keep within the key.
Take turns soloing or backing one another. To solo over the sax, signal to the player that you are going to take a solo and he will play a simple progression or melody. When the saxophonist wants to take his solo you should play simple chords to back him up.
Enjoy the experience. Emotion is as big a part of music as skill. If you do not enjoy yourself and play with feeling nothing productive will happen.