The nuisance call bureau will not be able to help as they are only really there to trace calls. O2 does have some information on the website if you have a look and it should give you some advice. Customer services normally refer you to the police who will be able to look into and (in my case) called the person to issue a verbal warning.
You are probably better off getting a free number change with customer services, or checking your phone to see if it blocks SMS - some phones do, samsung and i think some others. it will be in your settings.