You have to report this to the police and give them a description of what this guy is doing. And then stay aawy from that guy.
The police investigator will have to go to court to get a warrant that gives them the right to request records from the company that provides the guy with his Internet Service. That company will probably also conduct their own investigation. While this guy claims he is able to go to proxy sites in other countries, that just means his victims have trouble tracking the activity back to him - the company providing his Internet Service can still track him. It will take a couple of weeks for them to gather enough evidence, so be patient.