1. Definitely let the local police know about the threat and make sure that somebody writes a report and files it. Too many times a lazy cop will blow off writing a report when one is really needed.
2. Let people outside of your family know about the threat and all the specifics as to who, what, when, where, how and why. Spread it around as in, "Hey, if anything happens to me then keep in mind that Joe Smith has made threats to kill me..."
3. Make good, practical defensive plans of action in case you are attacked. Be ready to rock and roll on a 24/7 basis at home and when you are out and about the town. You don't know if he plans to strike you at home, at night, on the street or try to lure you into an ambush of some sort. Also be very observant for strange people and vehicles around your house and where you work. Be careful where you park and when you approach your car to go home.
4. Go to the range and practice with your firearms of choice. Practice often with them. Get good with them and then practice even more.
5. Do you have a cell phone? If not, get one. Also make sure that you write down on the back of the phone the local police phone numbers. Don't go with the 911 idea because with cell phones the 911 designated center may not always be in the same state where you're at. One cell phone company where I live, in central Illinois, uses a 911 center based out of Iowa. And that has created a lot of confusion as to whether or not a wreck was in Bellevue, Iowa, or Bellevue, Illinois. Cell phones are also very handy when somebody cuts the wires to your land line for your home phone. They give you a great alternative phone source in times of trouble that is very portable.