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.
Please keep in mind we are all human. Most of us do not like it when a Soldier goes around us to the chain of command. Leaders occasionally take this personally but they should not take it out on their subordinates or threaten them.
If you choose to take this to the Commander/1SG, make sure your memo states the facts, tells the whole story, and is void of emotion. By doing this you put yourself in the best possible position. Most senior leaders will not tolerate one of their subordinate leaders being unprofessional or mistreating his team. Your leaders care and will usually do what is right. We all make mistakes. Learn from this situation so that when you are a leader you will not make the same mistake.
I would also encourage you to try and solve every problem at the lowest possible level working your way up to the commander. This gives everyone a fair shot to address the situation.