Breakheart Reservation, the Saugus Public Library, and even occasionally the Saugus Iron Works hold assorted activities for preschoolers ranging from the more sports-oriented (like hiking) to the more academic (like story hours).  You can find more at the individual sites:

http://www.saugus.org/FOBR/
http://town.saugus.ma.us/Library/
http://www.nps.gov/sair/

Various non-profit organizations in town also have events for preschoolers once in awhile.

The majority of these events (from all sources) gets listed in the Saugus Community Events Calendar (it's mostly up to individual event organizers to do the listing though, so there are no guarantees).  Some events are weekly, and some are monthly, but most are more sporadic. The calendar can be found at:

http://www.saugus.net/General/Calendar/