... does tube amp sag come from the power tubes, preamp tubes or both. Some amps you want sag in and some you don't. ...
Sag usually is an audible artifact in the power amp portion of your amplifier.
The output tube plates pull the most current of the entire amp, followed by the output tube screens. The biggest current spikes for each happen when the amp is being played very loudly, during the brief peaks in the signal. If the current peaks exceed the power supply's ability to deliver current (for whatever reason, but often due to series resistance, perhaps in the form of rectifier voltage drop and/or small filter capacitance), the supply voltage drops, which tends to also result in reduced current draw, and so total power is momentarily reduced over what it would be if voltage did not sag.
The big obvious way to add sag is to increase the series resistance between the power transformer and the output tube plates. That might take the form of a higher-voltage drop rectifier (5R4 or 5Y3 instead of a 5AR4/GZ34 or solid-state). It might be added series resistance between the rectifier and a filter cap feeding output tube plates. It could be higher winding resistance of the power transformer itself. Or in some old tube circuits, it might be a resistor between each side of the PT high voltage winding & the rectifier plates.
A second way to induce sag is to increase series resistance leading to the output tube screen. The output tube needs a solid screen voltage to make the most output power, because the screen voltage impacts potential plate current more than the plate voltage. So if screen voltage drops, maximum possible plate voltage drops, too. This is why old amp manufacturers might use a series resistor in the power supply for their small amps, but often use a choke leading to the screen's filter cap in their bigger amps. They're trying to reduce the possibility of dropping screen voltage to reduce sag and get the most power output.
Which also explains why the same manufacturers originally might have no series screen resistor (it could cause screen voltage to drop right at the moment the plate current is trying to reach its peak, thus reducing power output). But a screen resistor also insures that excessive screen current (perhaps in a fault condition or just with very large input signals) won't cause the screen to overheat and/or melt. So manufacturers typically use the smallest resistor they can (470Ω or at most 1kΩ) to limit screen dissipation while also minimizing impact to screen voltage.
You can purposely do the opposite: raise screen resistance to induce screen voltage drop, raise sag and limit output power. The value to use depends on your needs for maximum volume and desired sag. You might experiment with 2-4kΩ screen resistors, see what you think & raise/lower to taste.
Where the output tube plates draw 10's of mA at idle up to maybe 100's of mA at peak output, and output tube screens draw a few mA's at idle up to 10's of mA at peak output, the preamp tubes may only draw a part-mA at idle up to maybe 1mA at peak output. These low currents aren't likely to drain even small filter caps appreciably, and if you raise the plate load resistor to impact plate voltage directly, you change the operation of the tube drastically. So it's less practical to induce sag in the preamp (apart from some clever plans of causing compression by controlling a preamp pentode's screen with a large, later-stage signal, rectified into a control voltage).