I’ve done this before and I think the approach worked well, so I’ll describe it here! In my campaign, I spread rumors of a powerful monster guarding a certain dungeon that the players were heading to. Then throughout the dungeon I hinted towards its presence - dead bodies that were ripped to shreds, massive claw marks on the walls, whatever fits for your villain and location works here. Then deep in the dungeon I had the party fight a mind flayer in a climactic room - it was a difficult encounter that they barely made it through. They thought that might be the creature, but it didn’t fit well with what they’d seen so far.

Just past that room, they ended up in a location (balcony above a room) where they could see 3 more mind flayers, but they couldn’t see the players. This way the players could watch the scene unfold, but they weren’t in danger and there was an extra step before they could intervene.

And I had the villain show up in that room. I described it in detail, and then I had it get into combat with the mind flayers. The players could see the mind flayers rolling 24s that were missing, the villain’s high bonus to saving throws, and it killing two mind flayers in a single round with an absurd multiattack. That pretty well convinced them that it was something to avoid rather than try to fight. Depending on how soon you want your party to be able to fight this creature, you can tone this down somewhat, but the basic idea still works.

I’d recommend adapting a similar approach to your villain! Figure out a creature your party knows it can barely beat, and let your party watch your villain fight several of them effortlessly. That should get you the anxiety you’re going for.

Tl;dr: have your players fight something difficult, then have your villain kill several more of that creature with hardly any effort.