from a december 89 Guitar Player interview with Keith:
Keith: [On Sad Sad Sad] Mick's also playing rhythm guitar, so there's a lot of guitars on that - three guitars on the actual track before any overdubs.
GP: You play the first thing you hear, though, right?
Keith: That's Mick.
GP: Wow.
Keith: Yeah, well, he's been hanging around me a long time [laughs].
GP: The first thing you hear in Sad Sad Sad?
Keith: It's Mick! Oh yeah, he can do a fairly good imitation of me [laughs]. Mind you, we spent a long time working on the sound. I join in at the very end of the riff there [bar 4].
here's the whole interview - it's old but it's good:
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"What do you want - what?!"
- Keith