I recieved a warning text from an ex lover warning me to watch my back from her ex husband & son.HELP NEEDED?

Basically i was in a relationship with a lady we have know each other for years and due to work commitments we hardly saw each other we decided to call it a day.Then my ex before hacked into my mails and decides to tell the ex husband of the lady and caused a load of trouble and now i receive a message warning me to watch my back from the husband and there son who has a history of aggression and drug abuse without a care in the world.We live 5 doors apart from each other and i am worried that one day i will wake up and my home will of been "done" over along with my car or worst case im walking with my toddler son and i get jumped and beaten up. My question is do i go to the police now and tell them what has happened maybe causing the police to go and question the said party's or do i wait until i have had something physical happen to me or my property. I cant live a normal life with an active toddler knowing that one day i could get assaulted.