IMHO, this is a separate issue from his knowledge of spanking. I think most high-energy 3 and 4 year olds will turn on their parents with all sorts of comments when they are upset. My 3 yo DS threatens all kinds of things. My favorite is when he says he will take my ducks away.
: (Whatever that means?) It might help to ignore the fact that he is talking about something that is a point of contention between you and DH (spanking), and just treat it like he's saying something else. I am sure he is just saying the most inflammatory thing he can think of, and if he had never been introduced to the concept of spanking, his favorite threat would just be something else.
I'll just share what has worked with my DS, though I can't really know whether it will be helpful to anybody else.
If his threats are isolated incidents and he isn't very upset, I will joke with him about it until he laughs. He might say "I'm going to BITE you!" then I'll reply "Well, I'll eat your nose up and have your toes for dessert." Usually he'll come up with something equally ridiculous and I'll continue upping the stakes until we're both laughing. After a few weeks of this, he started to cool off more easily when he is upset and make a joke rather than a threat.
However, if his threats come in streams of insults and anger, tantrum-style, I tell him he cannot be around us until he is ready to stop. My DS is not reachable when he is like that, so there's no point in trying to direct him or discuss anything. I also give him alternative words to use, (e.g. if he calls me a poopyhead, I will tell him, "You can say, 'I'm so angry, mama!'") but he is younger than your DS, so yours might not need that anymore. He has gradually improved over the past two months, small steps at a time. The first few times we isolated him for these outbursts, he kicked walls and screamed insults at the top of his lungs. Now when he is very upset he will often say "I'm very angry. I need to be in my room for a little while." He does this before he reaches the tantrum stage. Then he goes to his room voluntarily and comes out in a few minutes when he's ready to express his needs nicely. I get the impression that he is very relieved to have been taught a constructive way to manage his strong emotions.
I guess if he were very persistent with those threats but not tantruming, I would still try sending him to his room until he is ready to speak more kindly.
I get the impression that some mamas here do not believe in sending a child to his room to cool off, so please accept my apologies if this suggestion doesn't jive with your chosen style.
Good luck!
