Jem is becoming more mature as he progresses in the novel. He has remembered how Atticus reacted when Ewell spat in his face and he wants Scout to do the same: No reaction to whatever Ewell does. This would be the more honourable way to deal with him.
As for if this is wise of Scout to do, it probably was. She still is learning how to react to upsetting news and and a hard and fast rule like this would be easy for her to follow.
In Chapter 25 of To Kill a Mockingbird, Jem tells Scout the story of how he and Dill saw Helen Robinson receive the news of her husband's death. Later in the chapter, Jem tells Scout what he overheard when Stephanie Crawford was speaking with Aunt Alexandra:
"Mr. Ewell said it made one down and about two more to go. Jem told me not to be afraid, Mr. Ewell was more hot gas than anything. Jem also told me that if I breathed a word to Atticus, if in any way I let Atticus know I knew, Jem would personally never speak to me again" (page 245; page numbers may vary according to the edition).
Bob Ewell wanted Tom Robinson dead, and he most likely wants to go after anyone else who defended Tom, including Atticus (who is likely one of the "two more to go"). Jem does not want Scout to tell Atticus that he has told her this news, as Atticus would not want her to worry. However, Jem feels that Scout is getting older and is capable of hearing this news.
This is likely not a wise decision in some ways, as even if Scout knows about Bob Ewell's threats, she has no way to defend herself. On the other hand, Jem is helping her become more mature by revealing to her the reality that Bob Ewell is an evil man. Jem should have also told Scout not to trust Bob Ewell and not to put herself in a vulnerable position, but he tells her that it's likely an empty threat (while Bob Ewell's threat is not at all empty). By playing down the likelihood that Bob Ewell will carry through with his threat, Jem does not give Scout a serious enough warning about what Bob Ewell is likely to do.