Are my ears just fooling me?

Saxophone is one of the 'tough' insruments to reproduce!
Like Piano, violin.
They IMO are the 'big three' instruments tough to reproduce IF you have an ear attuned to that particular instrument.
I do not think it is your amps? It probably is your speakers are more at fault. I would look for old (1960's ish) speakers with a BIG woofer (12" to 15") and at least a 6" midrange, 8" mid would be better. (with pulp paper cones)
This is just my silly opinion.
The room may also have a bit to do with it.

How loud do you play?
What size room are you playing into?
Vinyl, tape or digital source?
What are some examples of equipment , Amps and speakers, even wire, that have dissapointed you so far?
I seriously doubt that a SET amp would be the best way to achieve the body and soul sound you seek.
However if you want to try any of them I would say your best chance is to get a speaker with an active woofer ( built in SS amplify) and an 845 tube mono blocs or Stereo amp for the mids and treble.
As a second approach to your problem you may have to experiment with some rather costly speakers to get the big sound and tone. The only speakers I know of that are bargains in the rich tone with sax blatt soul are FJ a rare German company you can get from Quest for Sound an Agon dealer, Alons/ Nolas the bigger ones and if you have a small enough space the Merlin floorstanders with Esotar tweeters and the Bam sytem. I have heard the Merlins with Joule electronics and the richness of the low and midrange was really outstanding.
In any case I would stay with tubes. Even though you might find satisfaction with some really good pure Class A amps such as those made by Pass or possibly the richly toned Class A and A/B Accuphase.
Did you try an Octal based preamp yet? The most common Octal pre amp tube is probably a 6SN7. If you go with one, made by Cary lets say, you would have the ability to tweak the sound by rolling the 6SN7s. There has been a lot written about the sound of the different 6SN7s in general they are on the richer fuller side.

My Quicksilver M60s, NAD 1600, and old Fried A/3s, though not fancy, flesh out the alto and tenor nicely and sound real. The trick, IMO, is driver integration/compatibility and tubes that err on the neutral/warm side. If these things are out of whack, saxes will not sound "whole."

Well I have heard some VERY expensive systems, and they have had better body. For instance the Wilson alexandria and lamm Triode set up was very nice. But I am a college student and cannot afford such things. As far as the merlins go, I have already owned the VSMs. They are a fine speaker, but personally I had to sell them because I felt I could not afford the electronics to make them sound full and big such as the joules.

I feel that I am not happy with speaker that do "tricks" such as the crazy imaging and through the roof detail. I want a speaker that can allow me to feel the music and forget about all this hifi stuff.

I have tried different rooms with tons of equipment, but have always stuck to 2 way designs. Do you think I just need a bigger speaker?

Resently heard some wilson sophia 3s with an audio research Vs115 amp that did the trick. But thats WAY out of my budget. Is it impossible to get great body for moderate prices?

Sources have been VPI tables, with audio research and conrad johnson Phono stages, Otari Reel to reel, bel canto DAC 3, and music hall Dac

What are some speakers that are strong in the "body" department?

Elizabeth-- what do you think of Klipsch Cornwalls. Do they fall in that category? I have a opportunity to buy some locally for 700.

Like I said I am coming from Merlin VSM's and I am worried about getting a speaker that is going to sound like the trash can compared to them!