People who say they're going to call the cops or beat your ass won't. I've been threatened with both a few times in my job (yeah, men threatening to come over and beat a woman's ass... that's real smooth). They do it to scare you because they're hoping you're as big a pussy as they are. If I were going to actually beat someone's ass, I wouldn't warn them. Nonetheless, do the right thing professionally and ethically and send his money back as soon as you can. The sooner he stops harrassing you, the better.