Steps to take if someone you know is suicidal:
Step 1: Determine if the threat is credible. If they have a plan, and won't take back the threats, then you have a credible threat of suicide. If the threat is legit, move on to step 2.
Step 2: Realize that nothing you can say will help. You're (most likely) not a therapist, so you simply aren't capable of talking them out of suicide in the long term. Encouraging them to kill themselves could have legal ramifications as well. I'm no lawyer, but I'd advise against taking the chance.
Step 3: Call 911, tell them so-and-so is suicidal and where they are.
Step 4: Step back and let the professionals do their job. You've done what you can.
Step 5: Wait until the suicidal person is dealt with.
Step 6: Wait until the suicidal person thanks you for helping them in their time of need. Once they do, you're done. If they don't, proceed to step 7.
Step 7: Stop associating with the suicidal person entirely. They're not worth the time/effort. Consider a restraining order if all else fails.
Thank you for coming to my Ted Talk.