File an fir against him and if the police refuse to register the fir then file a criminal complaint before the magistrate.

You can file a police complaint against them at your local police station for the same

Record his threats 

file police complaint against relative under section 504, 506 of IPC for acts endangering peace and criminal intimidation 

- You can lodge an FIR against this threatening call after providing his number to the police and higher official. 

- Further, submit the said FIR copy with a compliant to the Australian Embassy in India to take legal action against him. 

u should approach to nearest police station or mail it to your embassy

Since you received the call through his phone, you may draft a complaint neatly to the local police station and submit it apprehending danger from his threatening calls for you and your family members in India besides harm to your sister living in Australia.

If he had given such calls to your sister at Australia, then she can take action from that place itself by calling local police and initiate necessary action as per law.

Dear Client,

File an FIR or a criminal complaint before the magistrate.

Thank you

Respected sir/mam 

First of all you need not to worry about that as this is only a minor issue just write down all the things in the format of a complaint and give the same to your nearest police station for lodging of FIR and then also move an application to the home minister of your state by mean of CM window and also copy of that complaint and it will be much better if that will register as in the form of FIR provide both the copies of complaint and FIR to the Foreign ministry office situated at Delhi they will their self take legal action against him .he will not do nothing just don't worry and if the problem persist just call me I am from Haryana I will solve this issue out of way .

Thank you