No need to name and shame, which is unnecessary and not allowed on the support forums. You need to follow these steps posted by Mr. Gwyther of Xbox Support:
Alright, now that we have that out of the way,
if you are receiving harassing PMs, please send an email to*** Email address is removed for privacy ***.
Include your Gamertag, a brief description of the the offense, and a screenshot of the private message(s). If we don't have this information, we won't be able to adequately help you, so make sure you have all three
things in your mail before clicking send.