In fact, I would say my delight at being suffused with phrases from his saxophone – some like honey, some like vinegar – is surpassed only by my gratitude
The speaker makes us understand here that his "delight," or happiness, is a direct consequence of the jazz tunes he's listening to.
By saying that that Sonny Rollins' saxophone is "suffusing" him with "phrases" (having the sounds spread through him), the speaker suggests that Rollins is "speaking" to him through his music. Music is a kind of language, too. It's as powerful as the language made up from words that we use to communicate with one another.
The word "suffused" is also interesting here, because by saying that he's "suffused" by phrases from Rollins' saxophone, the speaker is telling us that he's totally encompassed by the music. The music is spreading through his whole body; it's taking him over.
We can also see some similes in action in these lines. The speaker compares Rollins' musical "phrases" to honey and vinegar. Some of the music is sweet and soft "like honey," some of it is harsh and bitter like "vinegar." This gives us a sense of how varied the music is.
The final line of the stanza tells us that, as much the speaker loves Rollins' music, that love is only surpassed by his "gratitude" (thankfulness). Our speaker is truly enjoying this experience.