My take.
I only threaten things that I know I will follow up on, although sometimes I say "You have LOST XYZ at this point. YOu can, however, earn it back with good behavior." This works beautifully for my daughter.
I also think that there are 2 parts to discipline. The consequence part and the proactive part.
I spend LOTS of time with my children teaching them and showing them appropriate ways to behave. When they are calm, I go back and review some of the things that I thought they could have handled better and we discuss ways in which they could remember to do that....I know...I know...it is the damn teacher in me.
When my daughter gets mouthy (my son, thus far is a very well behaved 4 year old), I give her one reminder to speak to me politely. If she does not, I say to her "Tell me like this______" and model polite talking. If she continues, I shut down the conversation and walk away. This usually results in a bit of a tantrum, followed by a "PLEASE Mommy, I will talk nicely to you" and she does.
Good luck to you and I agree with JT and Dr. Phil that ALL threats must be able to be backed up. (My earn it back clause is an easy way out when I realized I messed up).
Jenny