I found I needed to do two things.
The first was that none of the presets sounds worked nicely with the controller. The reason is that the lip pressure on the WX is vry sensitive and wobbles around quite a bit.
So when selecting a sound, I go to the MIDI Preset page and change the settings for the Pitch Bend -> Pitch line. The best way is to change the curve type to the fourth one (convex going up right). Another approach is to just reduce the conn. amount to almost the minimum. You have to play completely with completely slack lip and only press down when you want the pitch effect, whcih is not natural at all, but nevermind.
The second problem is that the WX controller seems to put out its note off MIXI messages too close to the next note on for Brass's saxophone model to notice. The effect is that while initial tub-tub sounds happen on legato passages, the main note stops after playing the first note. (The trumpet and trombone are fine.)
The fix I found for this was to insert a MIDI filter which delays the Note off fractionally. I found XOXOS.NET had a MIDI utility called MidiLegato. Just plut it in, set it to the minimum time settings, and everything is fine.
But it does mean that you cannot use the WX7 with the free-running version of Brass for sax sounds: you have to have the VST version running.
If Arturia wants to fix this, it would be great to have a way to override all presets to use the particular pitchbend curve. The SAX model bug is fixable by playing with the MIDI signal to fractionally delay the note offs: it does not need a fix of the model per se, if that helps.
This is for Brass 2.0.5