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If anyone threatens you without knowing Bucky's around then they've made a grave mistake. Usually when around with the Winter Soldier, that's guide enough not to mess with anyone. But mistake or on purpose Bucky's going to be handling them in a rather unpleasant manner. He tends to be a good judge of character which has transitioned into him being a good judge of how to fuck someone up either in the form of a verbal humiliation or physical lashing. Either way once they've finished with Bucky, and if they're still talking, they're apologizing to you and running away right after.
Loki finds that when someone threatens you it's best to just turn them into something else. Occasionally that's an object like a lamp or a snow globe but a few times — most of the time actually — they become some animal, typically an insect. It's more for entertainment rather than to have them learn a lesson although if you do want to teach them a lesson then Loki will make them sit while you go on talking. Doesn't matter the punishment, whoever threatened you is in trouble. Loki describes ancient Asgardian methods of torture which he sometimes finds more affective than the torture itself.
Okoye knows that you'll be able to handle the situation yourself, coming back with a barrage of insults or some physical pain. The only reason she knows this is because she's helped you perfect your fighting. Still you may often find yourself holding Okoye back from hurting whoever hurled the threat at you, or at least attempting to reign her in instead of allowing some severe damage to happen. She cares for you a great deal and if anyone lacks respect for you or goes so far as to threaten you, they're going to feel her wrath in about a thousand different ways.
Drax might not even pick up on the threat at first depending on how figurative it is. He's not great with metaphors, or really any phrasing that isn't wholly literal. However once he recognizes how the threat makes you feel (scared, worried, etc) then he's going after the person. He didn't get the name Drax the Destroyer for nothing and he will either end up threatening right back or hurting the person who went after you. Of course afterwards he's going to talk with you about what was said and how that made you feel but he knows enough to back off if you don't feel like talking. Mainly the talks are an effort for him to talk about getting you weapons.