What to do about cyber stalker?

I am being harassed by someone via my phone. I am female and he is male and we met on a major dating website. Unfortunately I gave him my cell number and after we communicated a few times I told him I was no longer interested. Yet he still texts me and it freaks me out. They are not threatening but I have told him to stop and he will not. He sometimes texts me in the middle of the night and wakes me up. It is just very creepy.

I would not like to involve the police. A couple months ago I threatened to call the police and he stopped, but then he just started up again. What should I do?