Using the open door policy is appropriate. If you have received threats from your NCO and he is cussing at you and threatening you with action you have 2 options. One is to do nothing and weather the storm. The other is to prepare a written document for the 1SG/Commander. This document should be a professional statement of the facts surrounding what the NCO did and how he threatened you. Then you should request to see the 1SG/Commander on open door policy and present the memo to them and state your concerns that the NCO is not treating you professionally and/or that you believe he is not treating you fairly.