Call cell phone provider, this way you have record of the harassing text messages, they can block number for you. If it starts again from different cell number, go to police only if they are threatening to hurt you or family. They will take it from there. If possible get letter from phone company stating you have filed a complaint with cell company, that's what they will tell you to do first. Don't Ever Text them back or delete messages. If you stop testing back they may just leave you alone.
Yeah I like candy bar. Text them back the same message each time describing how this text is being forwarded to (your local pd) and maybe the creep will stop. Also file a police report of they are threatening!
File a harassment complaint with your local police agency. Make the complaint EVERY time you get a threat. Their computer experts can track it if there is enough to make it worth the man- hours the investigation would take. Good luck!!