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If saxophones show up in the orchestra, where do they normally sit?

I've seen a lone saxophone placed about there in a concert setting but haven't seen a sax quartet seated with an orchestra.
 
No hard rules. A sax quartet is quite uncommon in a classical orchestra. I can't think of even a single piece of classical music calling for four saxophones. In any case, saxophones will be seated with the woodwinds. Where exactly will depend on the stage, the conductor, and several less important factors.
 
There are always more exceptions than rules, but VSL's placement makes sense to me, arranged high to low l-r from the conductor's perspective.

They're with the winds, and they're close to the strings (in big bands they can be a "substitute" for strings).
 
Depends on the piece and the conductor (who decides). As a section, I would generally place them just left of the trumpets. As woodwind soloists, I'd place them right there among them.
 
In stage bands (symphonic wind bands) the saxophones are often doubling french horn parts and are mostly placed beside them. But there are less seating rules than in symphonic orchstras.
In a kind of supersized big band (Sinatra, Mancini) the brass is mostly on the left in three rows: saxes first line (doubling woodwinds), trombones, trumpets. Strings are on the right in symphonic seating.
 
I've mostly seen them placed with the woodwinds as well.

The Berlin Philharmonic seems to agree:

 
A Lone sax usually sits beside the bass clarinet; if you have a section like in Rhapsody in Blue or Harlem I usually see them get their own row off the side near the trombones and behind the winds and strings.
 
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