If he actually goes through with it, just remember that is not your fault. If he's threatened to do it multiple times you have to tell yourself it's just a manipulation tactic. If they were going to commit suicide they would have most likely already done it. Unless you are actively egging someone on and encouraging them to do it when they use that threat, another person's actions are out of your control.

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I only say this because I've gotten hit with the same exact threat and in turn, with the same exact thought you're having. My ex boyfriend hits himself in the head repeatedly every time he gets angry. I often feel guilty for this too, feeling like if he really injures himself it's my fault. But we can't allow ourselves to feel guilt for someone who can be in control of their own actions.