Serious.
1. Video and Screenshots of everything, including the time and day.
2. If the person is threatening hacking, chances are they're a 4chan level hacker (aka script kiddie,) not a Russian blackhat. Are they threatening violence against you in real life, or just constant harassment online?
3. There are ways of acquiring the IP address of the person to actually quantify your safety. Obviously the GM's can do this, but you can also do this yourself by sending them to a honeypot, or just get them to read a post on the forums where you've put a honeypotted image in the post. For obvious reasons I will not tell you how to do this.
4. If their IP address suggests that they are indeed potentially dangerous (eg someone in your city or state,) notify law enforcement. Also you can contact the abuse department of the ISP they are using and that will probably just enrage them. If they use a VPN, that just makes them even more suspicious.
But most of the conflict resolution here involves contacting a GM. Report it, every single time. If the GM's will not take action, send a report via fax/snail-mail to Square-Enix's legal department. Keep in mind that you are risking losing YOUR account in doing so if you've done anything to instigate the conflict.
Generally what happens in call centers/support centers is that everything is taken mildly seriously unless a threat of violence or self-harm is stated (eg "I will do X to Y/myself/school/work on Z") in which case law enforcement may be contacted for threat assessment or simply to check on the safety of other people at the address. Not everything will be considered a serious threat, but faxes and snail mail are taken seriously unless the contact has an established pattern of self-victimization (believe me, they do exist and waste weeks of employees time every time they are triggered by benign comments of their supposed enemy.) Also threats against customers, staff and company infrastructure is more common than any company will let on because it scares share holders.