To refine the first answer just a bit, the correlative conjunction is not only...but also, rather than just but, since but is really a coordinating conjunction. The sentence then can read "Not only does a saxophone player stand on the sidewalk, but he also stands there each afternoon." This use of these correlative conjunctions is a fitting relationship between the two ideas as the second can logically be an additional idea to the first.
With the use of although in the second sentence there may be some confusion since in this sentence the idea denoted is that the saxophonist stands on the sidewalk even though, in spite of the fact,[which mean the same as although] he stands there every afternoon.
Perhaps, then, another way to write the sentence using a subordinating conjunction is by using as, which can function as a conjunction meaning in the same manner:
A saxophone player stands on the sidewalk just as he stands there each afternoon.
This is a good question -- it is not easy to see how to do this.
You could just use "and." You could say "A saxophone player stands on the sidewalk and he stands there each afternoon." But, to me, this does not sound very good. It sounds more like a run-on sentence than anything else.
The best idea I have is to use a correlative conjunction. You could say something like "Not only does a saxophone player stand on this sidewalk, but he stands there each afternoon." That works okay because it is emphasizing that he is there quite often.
These two sentences sound to me like they need the word 'although' to combine them.
A saxaphone player stands on the sidewalk, although he stands there each afternoon.
Other conjunctions that would work might be: however, though, or yet.
It depends what else you are saying around these two sentences. Sometimes a conjunction is used to create tension, other times it is used to pivot to a different point.