How to throw fire from a Saxophone (in live)?
A tube is clipped to the side of the sax. At one end of the tube is the little flame. At the other end, off frame, a technician holds a small canister of gas equipped with a valve. The valve helps the technician control the amount of gas that gets in the tube.
When s/he gets the signal, s/he opens the valve and lets more gas in the tube, which makes the flame go up. It's a very simple and a very common technique. 

That's how it's done. 
The question is, should it be done?

Good luck.