Definitely contact the cops, and if they give you shit for being a stripper, contact more cops and more people until you find someone who'll treat you like a human being. If there are big burly bouncers at your strip club, try to have them be on the lookout for this guy and make sure they see you to your car when you get done with work. Try not to spend any time alone until this is resolved, and like others have said, make sure someone knows where you are at all times - I know people sometimes say that changing your schedule means you're letting the guy control you, but I don't believe that. I believe that, as long as you keep living your life and don't become a terrified shut-in or something, taking extra precautions in response to a perceived threat is just plain SMART.
He sounds completely imbalanced. Keep recording tools handy, anything you've got (photo camera, video camera, audio recorder, anything) - in cases like this, you need all the evidence you can get against him, because unfortunately, sometimes people dismiss cases like yours as "oh, he's just mad and talking shit" and they won't take it seriously until someone gets hurt.
With any luck, he's just trying to scare you into doing what he wants, and he won't really do anything - but I wouldn't want to take the chance of being wrong about that.
Good luck! You deserve the same protection as anyone else, and you'd deserve this protection even if you HAD gotten yourself into this situation through bad choices or being stupid or whatever. A woman who marries an abusive guy thinking he'll stop it once they're married, and then realizes he won't and wants to get out, has the same right to protection as the woman who realizes early on that her boyfriend's unstable and then has to fend him off after dumping him.
And one more time... GOOD LUCK!
