I was looking for a better version of the various brass / sax sections voices on my piano but cant find any. I found just a few individual sounds like a trumpet and tenor sax, but no big band type sounds.

Check Dimension Pro. You may have to make your own big band I don't know... cheers...

I only have Dimension LE in the studio version, there's only 3 or 4 individual brass instruments in there, and I don't know how to make my own sounds yet.

Brass instruments seem to be poorly covered by the included instruments.

$20 http://www.store.cakewalk.com/b2cus/ProductInfo.aspx?productid=10-DSWB1.00-20E
There are plenty of other plugins out there as well which may be more expensive. 

Brass is a funny one.  Even with the full version of Dim Pro I think you might struggle.
 
Is it the big band style you want?
 
I have struggled to recreate this with the included instruments in Sonar Producer, but maybe someone else might chime in.
 
I've ended up using sounds from some of my keyboards, but even they have been a bit hit and miss.
 
It may be worth looking at a third party library to do this, as even the expansion packs for Dim Pro and Sound Centre tend to be aimed more at orchestral solo instruments, and do not lend themselves to big band style music..

If you can find a copy of the discontinued free Kore player, Kore or Kore 2 as well as Kontakt’s Brass and Sax for Kore you will have exactly what you are looking for. This was a really good package and I don’t know why NI dumped it.
 
Good luck.
 
Ps – there may be others out there, have you tried searching for brass sections?

I'll just stick to the ones on my piano then, they are sufficient, I just wondered if there were any more in the software that I had missed.

I'm just working on a brassy jazz composition atm, and can try multi layering and EQing my pianos sounds.

Not sure if the Garritan Pocket Orchestra comes with Studio or not (it's a set of sounds for Dimension Pro). If it does, there's some decent brass in there. Like Alex said, you may have to take a single instrument and multitrack it to make it a section. I've never really thought about it myself - because I played the trumpet for about 20 years (and still have one) and I own a hardware sampler still (EPS 16+) so I've just figured I'd record or sample myself if I needed a decent horn sound. lol But I want to say that I was pleased with the brass I found in the Garritan pack the last time I played with it. Just not sure there was a brass "section" in it or just individual instruments, as it was a while ago.
 
*Really good* acoustic instrument sounds are hard to come by. Most people that make those types of sounds (samples, usually) focus on guitars and pianos, while band instruments (trumpets, trombones, French horns, saxes, clarinets, flutes, etc) get the short shrift. Plus it's hard to get a decent sounding sample from such instruments because of the infinitely variable ways they can sound since they are blown (certainly the attack), with soft human lips (a/k/a embrasure), instead of being more uniformly picked or hammered, like a guitar or piano. Wind instrument samples, to sound "real", take a lot more multisamples, IMO, than do instruments that are struck or plucked - aside from percussion. (Before you flame me for my above opinion, please consider: I am also a pianist and guitarist so do not think that I think this way because I also am a trumpet player - I think this way because I've played trumpet since 1982 and have been using samplers since ~1988 or so and have tried to sample all sorts of instruments and sounds in the 25+ years since).

Chris Heins Horns - great sounding!

Lots of great info, thanks.

Surprisingly, piano, guitar and brass sounds on my digital piano sound better to me than the ones provided in X3 studio.