Atticus threatens the kids about playing the Boo Radley game in the 4th chapter:
"What are you doing with those scissors, then? Why are you tearing up that newspaper? If it's today's I'll tan you.
"Nothing what?" said Atticus.
"Give me those scissors," Atticus said. "They're no things to play with. Does this by any chance have anything to do with the Radleys?"
"No sir," said Jem, reddening.
"I hope it doesn't," he said shortly, and went inside the house.
"Shut up! He's gone in the living room, he can hear us in there."
Safely in the yard, Dill asked Jem if we could play anymore.
"I don't know. Atticus didn't say we couldn't – “
"Jem," I said, "I think Atticus knows it anyway."
Atticus threatens the kids for cutting up his newspaper saying that they will get spanked if it is today's paper. However, he leaves the idea of acting out the Radley's life for the neighborhood ambiguous at this point.
By chapter 5, the tone of Atticus regarding the Radleys gets a little more threatening and it directly relates to trying to get a note to Boo:
"Son," he said to Jem, "I'm going to tell you something and tell you one time: stop tormenting that man. That goes for the other two of you.”
...Lastly, we were to stay away from that house until we were invited there, we were not to play an asinine game he had seen us playing or make fun of anybody on this street or in this town.”
Although Atticus does not attach a punishment in this instance, he certainly insinuates that there will be grave and terrible consequences for the child who disobeys his order to stay away from the Radleys.