@zinzane87,
This guy sounds dangerous. Do you have family or friends you can stay with?
If so, then go, and take your kids with you. If not, call the cops and see about a shelter.
Seriously. People who regularly threaten self-harm might not only do that but might also want to take others with them.
Even if he would never harm a fly, he's still emotionally unstable and, by definition, unpredictable.