Saxophone Warm Ups - E Major scale. In exactly the same way that Athletes need to warm up their bodies before competing, we Musicians need to warm up too. Saxophone Warm Ups, Saxophone Finger Exercises, Saxophone Scale Exercises, Alto Sax Scales - Whatever you want to call them, on the one hand, saxophone warm ups are not overly exciting. Sorry !! BUT - if you do them every time you pick up your sax, you will very soon be able to play the music that YOU want to play :-)