If a person harasses and/or threatens you, it does not matter what their immigration status is. Your remedies are identical no matter where or when they came from.
Here are your best options if the police will not help you:
2. Avoid the people bothering you. Do not contact them, do not engage them, do not speak to them at all. Just leave.
3. If that does not work, apply for a temporary restraining order to prevent harassment.
Getting a temporary restraining order is simple, and free if you have the right facts. It's just a matter of filling out the application for a restraining order, getting it filed with the court clerk, serving it on the defendant(s) and then attending the hearing the court clerk will give you.
Generally, a temporary restraining order only requires that you sign a sworn declaration under penalty of perjury listing the threats, harassment, etc.
If you can get video of the problem without actually causing the problem it will help your application for the TRO. However, this is very difficult unless you have a friend do it, and the people actually come to you, instead of you going to them. If you have to cause the problem by going to them to get the video, you don't need the video.
You did not provide the location, or any details on the acts of harassment or threatening you are claiming, so I cannot tell you where to get the forms.