you could try baffles. Take two mic stands turn them into "T"'s. Hang a blanket over each one. Make sure the blanket hangs all the way to the floor on both sides, thicker the better. 4 - 5 feet high... whatever allows for good sight lines. Put the stands so that they are a few inches apart, easier with tripods. Do this 3 times and make an area for him... if his back is anywhere near a wall you might want to put something behind him too. Place him in the room so that the piano opens away from him... or if its an upright angle it so that the soundboard is away from him, but dont make the piano player have to turn too much to see him. Try to aim the bone away from him. Accept that there will be some bleed in this mic.

This is not a scary situation, you can do a lot with blankets and positioning the players right. Have them practice a good bit and solo the channels alot and make adjustments to the setup. Dont wear the band out though.

oh yeah... an omni on the sax can help with proximity effects.... And sometimes it helps to teach the sax player about the mic. Let him hold it and talk into it and move it around in front of his face and them let him hear it back. I have seen this be eye opening for musicians.

Thanks Hack

I'll have a try at him talking into a mic with feedback

Sometimes it does seem to help to tell him I am his audience
so he would play at me (more or less) with the mic in between us.

The trouble is also him switching sax all the time (soprano, alt, tenor)

So even when I do catch him without piano (or whatever)
I still get swaying tones (him dancing around) and
bad positioning from him switching saxes and shifting his position with each sax

...