I've worked in the DV field for many years, and this is dangerous. YOU are in danger. I suggest you apply for a restraining order immediately. It doesn't matter that you don't have the texts. You explain that he came over and deleted them (trust me, that will come as no surprise to judges who have dealt with domestic violence).
The RO will bar him from any contact with you, and probably with the kids (it might provide for supervised visitation). Do NOT ignore those threats. I've seen too many homicides that were preceded by this exact kind of behavior.