It sounds like there probably is good reason for you to be upset. I would at the very least tell a friend or you parents about the letters so that they can keep an eye out for him hanging around etc. I don't really know what else to suggest though, I would still go to the police, esp if you think the threats could become more/be carried out. At least if you tell the police know they will already be aware of it if anything else comes from it.
I would tell the friend that he has been asking about you, so that they know to be abit more wary when he asks stuff about you (and not to give him any phone numbers etc.) I guess alot of it depends how you want to play it, if you feel that you could go the police about him, or if you could talk to some of his friends, who could talk to him etc. Hope you get it sorted out though!