Is it harm to use something to prevent black magic (such as carry a real pig's bone for protection)? What can be used to prevent black magic knowing that I have been threatened by a person who will try to use it on me?

Praise be to Allah, the Lord of the World; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions.

Shielding oneself from the evil of magic or any other magic lies in adherence to Zikr (remembrance) of Allah, The Exalted, supplicating Him and placing one's confidence in Him.
Furthermore, achieving such a protection does not lie in the use of what is Haram like talisman and incantations or by carrying impurities such as bones of a pig. In fact, these latter things increase the bad effects of magic and bring devils.
Here is the best way to shield oneself from magic:
1) To have a firm belief that Allah is The Only One Who can do harm and good to people; that nothing befalls a slave except what He has decreed; that magic has no influence except with Allah's Will.
Allah Says (interpretation of meaning): {…, but they could not thus harm anyone except by Allâh's Leave. …} [2: 102].
But, it is regrettable that due to weakness of faith, many people feel awe of others, as they fear Allah or more. So, they hasten to push back distress through what increases it but they do not realize it.
Thus, Dear Brother, you have to pray to Allah, seek refuge with Him and place confidence in Him, and Insha Allah, nothing will befall except what He wills.
2) To protect oneself from magicians and devils with a fort that no one can get beyond, i.e. keeping on forms of Zikr day and night, morning and evening and so on, of restricted and unrestricted forms of Zikr. Such a way causes one to be with Allah and whoever is with Allah, He will be with him and nothing will harm him, Allah willing.
3) If, by the Divine Qadar, someone is afflicted with magic, he has to treat such a case through al-Ruqiyah al-Shar`iyyah, i.e. reciting verse 255 of al-Baqara Surah, the last two verses of the same Surah, Surahs Nos. 112, 113 and 114, and other Qur'anic verses that mention magic such as                        
{Then when they had cast down, Mûsa (Moses) said: "What you have brought is sorcery, Allâh will surely make it of no effect. Verily, Allâh does not set right the work of Al-Mufsidûn (the evil-doers, corrupts, etc.). "And Allâh will establish and make apparent the truth by His Words, however much the Mujrimûn (criminals, disbelievers, polytheists, sinners, etc.) may hate it."} [10: 81-82]. He also Says: {… That which they have made is only a magician's trick, and the magician will never be successful, no matter whatever amount (of skill) he may attain."} [20: 69].
Allah knows best.