They are similar players, but there are some slight differences:

- Lukaku starts the game more developed. This is a double-edged sword though. On one hand, Lukaku can contribute earlier. On the other hand though, being a bit less developed allows you to tailor Sanogo a bit more to what you want. You can train him specifically to make sure that he uses up the rest of his potential in the exact way you want.
- Despite being significantly further away from his peak to begin with, Yaya Sanogo starts with 1 point higher finishing and heading than Lukaku. This almost certainly means that Sanogo will always be better in those stats than Lukaku. He also starts with higher Jumping. These would tend to indicate that Sanogo is a much better finisher overall. However, Lukaku starts with an 18 in composure, compared to 14 for Sanogo and is better with his weak foot than Sanogo, which makes it more ambiguous.
- Lukaku has a rather weak stamina, starting with only 10. Sanogo starts with 13 and will thus always have better stamina. You'll have to rest Lukaku a lot more.
- On the other hand, though, Lukaku starts with a massive 18 in natural fitness. Sanogo is pretty solid at 15 as well, but Lukaku will almost certainly end up higher in this. That means he will come back from injury quicker and have a longer career (although that is irrelevant for most since they start out at 17 and most people don't play long enough that they might see either of these guys retire).
- Sanogo starts with horrible scores in passing, concentration, decisions, positioning, teamwork, and work rate. On the other hand, Lukaku starts with solid scores in all of those and great scores in teamwork (18) and work rate (15). As a result, Lukaku will be much more useful in keeping possession and will set up other players much more.
- Similarly, Sanogo starts with horrible scores defensively (1 in tackling, 4 in marking, 3 in positioning etc). Lukaku is by no means incredible defensively, but there is a significant difference (6 in tackling, 6 in marking, 11 in positioning etc). He has also got that really high work rate (15 compared to Sanogo's 7). This means you are way more likely to see Lukaku winning possession back high up the field.

In the end, the difference between the two at their peaks will typically end up like this. Sanogo will be a better pure finisher and have better stamina. On the other hand, Lukaku will be a much more complete player, giving you much better passing/teamwork and defense. He will also likely have a longer career.

With that said:

I believe they are both -9 PA players. Thus, they are given a random PA between 150 and 180. As a result, the experience you get with either of them is going to be very colored by what PA they get. And in the end, the two players are similar enough that the best one is almost certain to be the one who happened to be given the higher PA. So if you want to know which one is best, you should probably scout them. If your scouts give one a higher number of stars than the other, then there is probably a significant PA difference in your game and you should take the higher ranked one. If they are given the same number of potential stars, then the PAs are probably similar and it really comes down to personal preference based on the differences I listed above.
May I suggest some one else?

Have a look on Bakambu, he done the best with my Newcastle last time. Top EPL scorer for 2 season continuously :)
Sanogo for me, usually scores a couple of goals on his debut for a big club.