Whatever instrument you're most interested in, write for it in an SATB form (for saxophone that would include soprano, alto, tenor, and baritone saxophone [a saxophone quartet]; for the oboe it would be the oboe, english horn, bassoon, and contrabasson ). You should do this to develop skills in four-part writing, which is the basis of all harmony.
Other than that, write for whatever instruments you are familiar with, whatever instruments you like or want to experiment with, and whatever instruments which might allow you to have it performed (if you have a bunch of family members who play stringed instruments, it would be a good idea to put together a string ensemble piece for them, especially on a special occasion , even if you don't play a stringed instrument).