Have you told anyone about this? What is your relationship with your in laws like?
Do you and him ever exchange text messages? If you've exchanged any messages about this you must save them, particularly if he's responded to anything you've mentioned about his threat. If you need legal help it will be important to have written proof of what's been happening.
Unsave his contact number so it comes up as the number and not his name (otherwise he can later say you just saved some random number as him to accuse him of something and get a better divorce settlement). Then screengrab any messages with threats or references to threats and save them in a secure place. Email them to yourself and maybe send to a trusted family member.
You need to protect yourself whether you think you're in a bad situation or not. Worst case scenario you've saved unnecessary info.
I would also be open about it. You've got nothing to be ashamed of. Yes it's a little inflammatory but women are always expected to keep it in the home. Why? This is a dangerous situation. If it wasn't your husband and a random man threatened to do that you'd likely tell your friends and family about it because it's a strange thing to happen. Tell people so if anything happens to you they know there was a warning sign and your friends and family will help to protect your children.
I'd throw the baking tray in the bin and buy yourself a nice new one if you can afford it.
You need to put a little bit of money aside every month. If you suddenly have to leave, any amount will be useful. Do not tell him that's what you're doing. Enough for a couple of nights in a hotel at least but ideally a real cushion.
It feels so normal when a partner does something abusive because it's your partner and you know them and it's not dramatic like a film. The women murdered or seriously hurt by their partners aren't any different than you. They weren't stupid or unable to read the signs, they were victims of a very predictable pattern which is designed to make you question your reality. I do feel sorry for him as well, what a shit way to live your life. But your safety comes first though.
Finally, I'd consider doing a police report. If his behaviour escalates you need a clear record and it's so hard to prove what actually happens. He will deny it. He will not say to a police officer that you deserved it. He will say you're hysterical and making it up.