My first course of action (since he's in another country) would be nothing.

I would cut all communication and ignore the shyt out of him.

Then, if he's threats are not idle, and I actually get contacted by some craigslist weirdo? I would contact them with the proof of his documented threats and inform them that the content posted on their site was not permitted by me and that I will be contacting the police and legal council should they fail to remove it.

Yes, I would run the risk of being exposed online, but that's the risk involved when sharing explicit content. And if God forbid anyone I "knew" propositioned me because of those pics I would claim to be the victim of photoshop and a sick guy I turned down.

But that's just me