If the PS3 has a user reporting function I would suggest using it. Sending messages of that kind are usually against the terms of use on a closed network (such as Xbox live or PS Network). In the case of the Xbox, such messages would result in a ban from the network if enough people complain.
Its people like you know who that gives online gaming a bad name. Removing them from the network is doing everyone a favour, so dont think twice about it just report them.
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