user18418: In this video of Post Modern Jukebox (Burn - Ellie Goulding), you can see fire thrown from the saxophone at 2:10. I can't see how exactly they are doing this.
So, how to throw fire from a Saxophone live? What is the technique they used in the video?

user2836: It honestly appears like that was added in post.  I see nothing in the sax itself the lighting effect from it seems like a general effect, not actual fire (way too bright for such a small flame).  
This could be done using a mix of motion tracking the sax, placing a special effects fire video at the center and then using either a pre-made lighting effect or just boosting the redish orange luminance around portions of the image that would be expected to be impacted.  
It would also require some matte work to ensure that the lighting effect doesn't impact things it shouldn't, though a similar effect could be achieved by having an orange/red light hidden on set and controlling it's brightness to match the flame that will be added in post.
Looking more closely, I'm increasingly confident that the light trick is exactly what they did.  There is an unexplained extension cord coming in to the shot and disappearing behind the center singer.  My guess is that they have a light source there to emulate the light of the fire and then simply matched it up with the artificially added flame.  There is no ignition of the flame, it just appears and the behavior of the flame in relation to the angular movement of the sax doesn't appear correct.  If it was a fixed emitter, the base of the flame should rotate as the fuel would take time to heat and move vertically after exiting the source (turn a stick lighter and see how it behaves for yourself).  This isn't a real flame.
As others have mentioned in comments, as far as doing something like this as a practical effect (practical effects mean they are done for real), it really isn't practical or safe.  The fuel source and emitter would make the sax unplayable for any live audience and even still it would not be safe for the player or anyone in the immediate vicinity.  This is an effect better done in post production with some on set lighting tricks.

user11961: A tube is clipped to the side of the sax. At one end of the tube is the little flame. At the other end, off frame, a technician holds a small canister of gas equipped with a valve. The valve helps the technician control the amount of gas that gets in the tube.
When s/he gets the signal, s/he opens the valve and lets more gas in the tube, which makes the flame go up. It's a very simple and a very common technique. 
That's how it's done. 
The question is, should it be done?
Good luck.

18418: <p>In this <a href="https://www.youtube.com/watch?v=LZY9_Xr5XPA&amp;index=10&amp;list=PLCk-Z7i-iRKsPkQWXnDqs9wU5Q5kfd1RF" rel="nofollow noreferrer">video</a> of Post Modern Jukebox (Burn - Ellie Goulding), you can see fire thrown from the saxophone at 2:10. I can't see how exactly they are doing this.</p>

<p>So, how to throw fire from a Saxophone live? What is the technique they used in the video?</p>
 2836: <p>It honestly appears like that was added in post.  I see nothing in the sax itself the lighting effect from it seems like a general effect, not actual fire (way too bright for such a small flame).  </p>

<p>This could be done using a mix of motion tracking the sax, placing a special effects fire video at the center and then using either a pre-made lighting effect or just boosting the redish orange luminance around portions of the image that would be expected to be impacted.  </p>

<p>It would also require some matte work to ensure that the lighting effect doesn't impact things it shouldn't, though a similar effect could be achieved by having an orange/red light hidden on set and controlling it's brightness to match the flame that will be added in post.</p>

<p>Looking more closely, I'm increasingly confident that the light trick is exactly what they did.  There is an unexplained extension cord coming in to the shot and disappearing behind the center singer.  My guess is that they have a light source there to emulate the light of the fire and then simply matched it up with the artificially added flame.  There is no ignition of the flame, it just appears and the behavior of the flame in relation to the angular movement of the sax doesn't appear correct.  If it was a fixed emitter, the base of the flame should rotate as the fuel would take time to heat and move vertically after exiting the source (turn a stick lighter and see how it behaves for yourself).  This isn't a real flame.</p>

<p>As others have mentioned in comments, as far as doing something like this as a practical effect (practical effects mean they are done for real), it really isn't practical or safe.  The fuel source and emitter would make the sax unplayable for any live audience and even still it would not be safe for the player or anyone in the immediate vicinity.  This is an effect better done in post production with some on set lighting tricks.</p>
 11961: <p>A tube is clipped to the side of the sax. At one end of the tube is the little flame. At the other end, off frame, a technician holds a small canister of gas equipped with a valve. The valve helps the technician control the amount of gas that gets in the tube.
When s/he gets the signal, s/he opens the valve and lets more gas in the tube, which makes the flame go up. It's a very simple and a very common technique. </p>

<p>That's how it's done. 
The question is, should it be done?</p>

<p>Good luck.</p>
