First, I truly feel sorry for your children. Their lives have been ripped apart. I cannot image what they have been going through emotionally.
Second, I recommend that you immediately put them in counseling. If you need to do a modification, you will need the testimony of an independent counselor to testify about what is going on in their lives and how this behavior is impacting them.
Third, I would encourage you to also enter counseling. All of this stress cannot be good for you either. Your family is in a major transition. I would also encourage you to have your new boyfriend attend counseling with you. Second marriages have a high rate of divorce and your children do not need this second marriage falling apart. You need all the help you can get to insure that this marriage succeeds.
Fourth, return to your divorce lawyer and advice. If you did not like him/her or if you did not have an attorney, then look on this website and find a lawyer. You need to begin saving your money for a modification. Because it was so recent, you will need a reason to ask for a modification but emotionally abusing the children are grounds but you will need evidence & witnesses. These are difficult cases to prove.
Fifth, you might also want to talk to your attorney about potential criminal charges. As you can tell, your case is complex. He has a lot of anger even though he has a girl friend.
You might want to call your local sheriff and/or constable and notify them of what is going on so that they can have your home "red flagged" in case he shows up again & threatening you with shooting you. You might want to talk to your immediate neighbors to keep a careful watch on your home & to have them call 911 if he shows up & causes any sort of "trouble".
I wish you luck. I also encourage you to be safe. I've lost 2 friends/relatives to domestic violence so I take these type of threats very seriously. Please be safe.