Hello-ullo Saxymandi!
I've been playing sax for about 7 years now, and I'm only really getting the hang of the thing properly (though I was pretty young at the beginning). But then, I had some pretty awful equipment to start off with, so that didn't help much. Right now I play Tenor on an Otto Link 7 with Java 2.5 reeds on a YTS-61 sax.
What sort of setup do you have?
PS, if you want to have a real blast and work on ear training at the same time, put on one one of Paul's discs or a Rippingtons CD and play along. It's great once you get the hang of it (though it takes a while to get descent at).