Shelters are not fun but they are safe. Safe is something you desperately need right now. I have been to a shelter and my son did okay with that. Most shelters have therapists that can help you rebuild your life. The one that I went to had free legal counsel that helped me with the process of getting a protective order. Not that a piece of paper will keep you safe though as you already said.
He is not going to change. It only gets worse and worse. Quite often somebody ends up dead. He is telling you he will kill you. Yes he is that bad. I tried to support my abusive BF and encourage him to get help but he didn't want help. He made bad choices and now he is dead. Please get away from him. The danger is real.
This site is informative --->
http://www.domesticviolence.org/violence-wheel/