Does your company have an HR dept? This absolutely sounds like an issue you need to take up with them, depending on how your manager handles things. There are several steps that most companies want you to take before escalating things, and the first thing is what you've already done...talk to the person you have an issue with and tell them that what they are doing is making you uncomfortable. So kudos for being brave enough to do that one.
Next is to go to your immediate supervisor, which you are already planning on doing. I might have told you to wait and see if this guy corrects his behavior, but you're probably right in your concern that he will go to her first and it's only fair that she gets both sides of the story.
So now, I would simply wait and see how he behaves. If he (wisely) backs off, the problem has been resolved and there's certainly no need for you to feel uncomfortable around him. Even though you were crying and upset, it doesn't sound like you crossed any lines. He was doing something that made you uncomfortable (miserable, really) and you asked him to stop. Isn't that admirable? Isn't that what you're going to teach your children to do someday?
So please be proud of yourself. You were incredibly brave for standing up to this jerk...something that apparently no other person in your office was willing to do, except through mgt.
And if he continues to harass you, start documenting it. I mean, literally, get a notebook and start a journal about it. Note times, dates, exact words spoken, etc. If he's intimidating or harassing you in any way, describe it. Whenever possible, communicate with him through e-mail so there is a record of what he says. When you have a decent amount of material (or when you're simply at wits end with him again) go to HR and tell them that this man is "creating a hostile work environment" for you. That's a real buzz phrase for HR and they normally take it seriously. Remember, he's not just being an obnoxious prick...he is making you a victim of discriminatory harassment.
You have more options than you probably realize, so please go into this armed with knowledge. I have a feeling that things will change quickly when it becomes clear to everyone that you know your rights.
And if your company is too small to have an HR dept, take everything I said and apply it to your immediate supervisor or on up the chain of command.
Here's a site you might find helpful: http://employeeissues.com/hostile_work_environment.htm
Best of luck to you, Sweetie.
-S.