You're giving too much credence to what he says. He can't just "take the kids." Where's he going to take them to? It sounds like you need to get this guy out of the house. There is a legal process to do that. You very much do need to see a lawyer.

Your main worry right now is protecting yourself, financially - for the kids' sake, as well as your own. Certainly, don't go making payments on things that just benefit him. Make sure he can't access your money. If you do believe it's over, find out how to move forward with disentangling yourself from him. I'm sure this isn't what you envisioned when you thought you were building a life with him and you had high hopes. But it sounds like you may not be losing much. Turn a deaf ear to his foolish threats.