Adding sound effects

Hello everybody! Im new at this Sonar X1 thing, so please bear with me. I am trying to add sound effects to my saxophone. How do you do it?

You can add a "track" fx as Scott says above.  For reverb, you can add it to your track bin or send the sax to a bus and add the reverb there (along with other tracks). 

A little backwards reverb on the sax is really nice, too and I've used that on some smokey blues jazz stuff.  You have to record just the reverb on a separate track and then use the audio option to reverse the track.  Many times you have to adjust the backwards reverb in the timeline.  It is a little harder to do when you are starting to learn, but is something you can work up to.

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Ps.  you are talking about adding an effect to a sound from your question.  Those are reverbs, delays, compression etc.  A sound effect is different.  If you wanted to add farting noises to your sax, that would be a sound effect.  It may seem picky and is no big deal, but as all arts/jobs the terminology is important.  Have fun.