I would understand what you mean because you explicitly say 'in this song'. However, generally a 'piece of music' refers to the whole composition rather than part of the song. I would say "in this song, I like the part with the saxophone". You wouldn't say "in this song, I like the part of music with the saxophone". It's redundant to say 'music' as you've already said 'in this song' so it's assumed you're talking about the music when you say you like the part with the saxophone.

Do you mean an instrumental section which is part of a singing performance or a recording of a song? For example, if there's a saxophone solo when the singer pauses between two verses, for example. If so, you could say 'In this song I like the section with the saxophone'. "A piece of music" is a musical composition that stands alone, so it's not quite the right phrase to use for something that is part of something else.