Designate a scale, let's say concert C major. There are eight steps (notes) in a major scale; six whole steps and two half steps. This rule is the same for every scale.
The C major scale: C -- D -- E - F -- G -- A -- B -- C
The C major scale steps: 1 -- 1 -- 1 -- ½ - 1 -- 1 -- 1 -- ½
Pick out the first, third, fifth and eighth steps of the scale. In this case it would be C --E -- G -- C. Play them one after another; this is a triad. Playing the eighth step, also known as the octave, is optional because it is not a literal definition of a triad, meaning three, but it is completely acceptable. See the Music Theory website in the References section for a great triad music lesson.
Overtones are harmonic multiples of a fundamental note. Every note has them. If you play a short note in a place where the sound echoes a bit you can hear the note change as it fades. You will hear a fading pith get higher and higher. The series is inflexible and constant and will follow the same series each and every time.
If the fundamental note is C, then the series scale steps are 8 -- 5 -- 8 -- 3 -- 5 -- (b7) - 8 in ascending order continuing indefinitely, but beyond the range of the human ear. Southern Methodist University has a great chart on the overtone series.
To play these on saxophone, choose a fundamental note. Again, let's choose C. Play C1, fingered with the three top and four bottom fingers closed. Now, close your throat a little and allow the note to jump octaves. This is the first overtone. Continue closing your throat and tighten your embouchure to allow the note to jump in pitch. It will go to the fifth scale degree, and as you continue closing your throat and thinning out the column of air you blow into the mouthpiece, the notes will jump upward through the overtone series in order.