QUOTE(Pixie*Porsche @ Nov 9 2011, 09:15 PM)

TSax - thankyou so much for the advice

You seem really knowledgeable about the sax

I absolutely love listening to Jazz. Have been to a few Jazz gigs. But I do not have a clue where to start with it ... and can't really have regular i.e. weekly sax lessons (certainly not with a Jazz specialist)! Basically I like Jazz but am scared of it

If you love jazz then you must try learning to play it! You can't love jazz, play sax and NOT try!
I'm not at all sure how you'd go about starting to learn on your own and without a teacher. Jazz really isn't a solo pursuit - are there any workshops, community ed classes etc anywhere near you? I know there are several within easy reach of me, but that's London.
Of course the first thing you've got to do is become reasonably competent at playing the sax, and the basics are the same whether it's jazz or classical. Be consciously aware all the time that it's a sax, not a clarinet (my clarinet playing is hopeless these days because I can't make the distinction). Your embouchure is looser and more of an "O" shape. Try and keep your jaw dropped. Listen very carefully to your tuning. The tendency for clarinettists is to play sharp, and increasingly sharp the higher up the instrument you go because you tighten the embouchure. You might also find you have problems hitting the low notes - you need to relax and drop your jaw. Long notes are crucial for developing a decent sound and you need a lot more (in terms of volume) of air than for a clarinet. If you don't use enough air you'll end up tightening your embouchure to support the note instead of relying on the airstream and you're back to tuning problems. You might feel that you're playing too loud. Don't worry about it. Loud is good in the early days, it means you're putting enough air through, you can worry about playing quiet later on.
Things to practice that will help to develop the skills you need for jazz are scales and arpeggios, and try working out simple (or not so simple depending on how good at it you are already) tunes by ear. Once you've figured one out transpose it into another key, and another. Learn a short phrase of a couple of bars and transpose it into 12 keys (in your head, don't write it down). These should all help you when you find the right place to start playing jazz.