This is not bad – ambling along 44th Street with Sonny Rollins for company (1-3)
The speaker says it ain't "bad" walking along the street and listening to Sonny Rollins. The statement that begins the poem is an understatement of sorts. As we read along, we discover that, not only is it not bad walking along and listening to music, it's actually pretty awesome. These first few words of the poem put us directly into the speaker's point of view and into his mood.
[…] this clear day in March, the pavement sparkling with sunlight, pigeons fluttering off the curb (7-9)
The speaker doesn't talk directly about happiness in these lines, but we get a sense of his happiness through the description of the setting. It's a "clear" spring day in March, the sunlight is sparking, and there are pigeons fluttering about. There's light and movement here, which gives us a sense of the speaker's own high (or bright) spirits.
In fact, I would say my delight at being suffused with phrases from his saxophone – some like honey, some like vinegar – (11-13)
The speaker tells us that he's "delighted" to be listening to Sonny Rollins play his saxophone. His use of the word "suffused" suggests that he is not only suffused by the music, he's suffused (filled up) by delight.
is surpassed only by my gratitude to Tommy Potter for taking the time to join us on this breezy afternoon (14-16)
The speaker's also feeling a whole lotta "gratitude" for another jazz musician, Tommy Potter, who he listens to through his earphones. The "gratitude" that the speaker feels here suggests that music is a gift. And it's making him happy.