Unfortunately, I have dealt with a psycho before, and I have posted about it here previously. The advice you are hearing from others here is good.
I can say that in my experience, the police weren't much help until he broke into my house by using a rock to break thru my patio door, and then tried to shoot me several times with a loaded gun. The gun jammed, and I escaped to the neighbor's driveway, where he continued to point the gun at me and tried to make it fire. Neighbors called the police and there was a long standoff, but he was finally subdued.
For you, if your husband is as unstable as you describe, I would seek a women's shelter for you and your children, and I would NOT try to discuss anything with him about leaving. By doing so, you will only aggravate him, and give hm an opportunity to act out in who knows what kind of way.
Patty