I don't play Sagat but when they say close game is good is because Sagat has block strings such as c.lk, c.lk, c.lp, I usually do st.lp to Tiger Knee after. He can use his Tiger Knee for pressure at the
right distance after the block string which makes the Tiger Knee hits once near the end when he's landing which make it more safe and gives him frame advantage.
After you land from your Tiger Knee you can pressure more with c.lp to low tigershot.
Distance:
http://www.youtube.com/watch?v=q3paBY2EImI 1:06 Sagat does Tiger Knee at the right distance to make it safe and also applies pressure. This video is a good example to what sagat can do close range without doing much block strings anyway.
EDIT: Beaten, and probably more informative from a gdlk player D: