Definitely, definitely return to the police and tell them you want this logged and action taken. They will care, you're not wasting their time, this is important. It's harassment and it's blackmail.
Then send him a message by text, email or snail mail saying that you've no wish to hear from him again, that there is a police incident raised and that if he makes any further contact with you in any way you'll consider it harassment and will press for criminal charges to be brought against him. Keep a copy of that message and/or if it's sent by mail, send it recorded delivery. You have to give him that written warning before charges can be brought, that's the process of law. Generally the police turn a blind eye to one further contact from him as frequently there will an immediate, knee jerk response from the other party. Anything beyond that is considered a pattern of sustained harassment and that's when the police will act.
You might consider it in your interest at this point to add that you have made your family and close friends aware of the photos and his attempts to blackmail you and that they will report any such contact to the police. In your shoes I would tell family and friends what he's threatening - the shame is his, not yours.
If he rears his ugly head again DON'T ENGAGE WITH HIM, hard as it is not to bite, because if you do it sets you back and you'll again have to go through the process of warning him not to contact you before you are able to take any legal action. Just keep all copies of all correspondence and take them to the police. Whatever you do, don't answer any calls from him (or from withheld numbers for the time being).
Personally I'd ignore all the above and just 'send the boys round to have a word' but I realise that this wouldn't be everyone's preferred way of dealing with it.