Do you ever let him carry on doing something mildly perilous until he does actually hurt himself? I feel all of you right there now, poised to ring SS - but if you always intervene to head off trouble, he never gets that chance to learn about consequences and that you're actually telling the truth when you say "don't do X, or Y will happen". I'm not saying let him run into the road or anything, but just to allow him to experience some milder negative consequences sometimes, when the opportunity arises. I must have told DS1 a hundred times not to try and get two cereal bowls out of the cupboard at once, or he would drop them - it took a smashed cereal bowl before he believed me!
He sounds very energetic so try and ensure he gets enough opportunity to burn that energy off, as safely as possible. Lots of running around. We keep an old cot mattress on the sitting room floor for bouncing on on wet days, and are Olympic-standard at indoor tennis - played with a balloon and one of Daddy's slippers each!
Think about what attention you give him, and when - lots of positive attention when he's doing something "good", to try and make sure he doesn't feel the need to try and get your attention by doing something naughty or dangerous. Being told off obviously isn't as nice for kids as being praised, but it's still attention and they'll take it if it's the only kind on offer.
Otherwise, yep, kids are always going to wind each other up. A certain amount of teeth gritting may be required!