Onyx-
Sorry to hear this. While I know nothing of the Aussie legal system, here's what I'd do in the U.S.
1) Save the message text on my phone, print it out if at all possible. Get a printed copy of the threat on FILE with the police and demand to FILE a report with it.
2) Report the individual, with menacing text and verbal threat to your mobile phone service provider, and request they investigate. If known individuals are using their system to make illegal threats (text or voice), they had better take appropriate sanctions against the perpetrators--or suffer potential liability (see below).
The point of the above it not that you're going to get any immediate results--and you might not even sleep any better. But, if heavan forbid, something occurs or "nearly-occurs" to you, you will have some possible legal/financial recourse against the Police Dept. and phone company.