If I were him I wouldn't do a thing. According to Gooners and Wenger, the best thing for their club would be for Sanchez to stay put and walk next year for free. In that case, by sitting on his hands and sticking to his contract, he's showing loyalty to the club. If and when a bid is submitted, the ball's in their court - let them come to him if they don't want to keep him. Otherwise, they've all been as good as their word and honoured the contract.
What's most likely to happen is we'll submit a bid of £40m and gradually increase it, noises will be made via the media that the player wanted to leave and they couldn't risk him leaving for nothing, Arsenal fans will fall into line with 'we have Lacazette anyway' and the player doesn't need to kick up much of a fuss. I think we'll get him but I'd be surprised if we wanted to be seen to pay more than our transfer record.