If you want to F' with the guy... do like Scott said... or leave it active for a bit to get an idea of who their calling, and F' with them...lol.
Otherwise... contact your carrier, they'll shut off that phone and get you a new one on your number.
Earl is right... Authorities will do absolutley nothing about it. About this time next year, AT&T will have consumer GPS tracking ability so you can find your phone VIA a web app(Guidepoint uses it for locating stolen cars already)... that'll make life interesting for theives, unless they switch the SIM
I'm sure other carriers will offer that as well.
Good luck.