If someone has threatened your life then yes, you can file a complaint and possibly get a harassment/restraining order, you can even let him know if he threatens you again you will call the police. My suggestion is you just leave him alone and ask him to do the same. If the threat of you telling his wife is gone, then he may leave the whole thing alone. However, if you file a restraining order and a police report, it's more than likely his wife will find out somehow and this could just make him angrier...but this is really your call. If you believe he is a danger to you, then you may be best served by filing a report.
I don't know if you are still seeing him, but obviously this isn't safe for you. If you do decide to stop seeing him, I would suggest keeping a journal with dates and times and any problems or issues you have with him from this point on, in case you need it for court.
Let me know if I can be of further assistance