Like stated earlier, if its something you feel hasn't been dealt with properly by your immediate boss and feel nothing will happen, use the grievance procedure. It can't be used against you or be used as a reason for you to lose your job. Threats are hollow, just make notes of them if they happen and report it when you have enough evidence.

My girlfriend started a new job six months ago, and her boss bullied her from day one simply beause my girlfriend was better qualified and had a better track record in the company. She raised a grievance a month ago and its being run through at the moment. She has the complete backing of HR who keep it confidential. Strangely enough, we think her boss has now caught wind of it and is being nice to her, maybe in the hope the grievance will be dropped. Not a hope in hell.

Cheers

Matt