Roommate's Coworker Threatened Him With Gun Violence?

Hi guys,

My roommate came home really shaken today because a coworker had made numerous (random, he wouldn't hurt a fly and she clearly has issues) threats to him and seemed she was going to make good on them today. She told him she was going to come find him at the start of her shift, and he knows she has a gun. So he left early. He's going to call off tomorrow because he doesn't want to risk running into her. We're going to file a police report and talk to HR, but what do you guys think the best order of operations would be? I don't have much faith in the law, especially since my roommate is POC + an immigrant (on green card) and it's an instance of female on male violence which sadly doesn't get taken seriously. But she has a gun. Do we alert the police first? HR first? We're concerned about retaliation if the would-be assailant catches wind of the reports. Safety advice would be appreciated as well. Also concerned that his job won't take the threats seriously and penalize him. But it doesn't seem fair that he should have to choose between his career and his life.

P.S. I'm going to ask him for more details such as close to exact phrasing, any textual evidence, any witnesses, date and time of incidents, to make sure it's all filed away.

edit: My roommate seems pretty confident she doesn't know where we live. But we can always hole up at my dad's if it becomes an issue.

edit 2: We're in Illinois.