Hey.
TBH, I'm really unsure why you would post this here. There are many forums which cater specifically to addiction and gambling addiction in particular, but here's what I know which might help.
Firstly, treating addiction or compulsion therapeutically requires a high degree of motivation. Your son needs to realise that he has a problem and to actively want to make a difference. It's a very stressful process and is unlikely to succeed without active cooperation. If your son is not at that stage yet, then there probably isn't much you can do beyond cutting yourself off as much as possible from the financial and emotional consequences. Sometimes, people need to hit rock bottom before they will acknowledge there is anything wrong.
At the same time, pretty much everyone fails at some point during addiction treatment. Even if your son is extremely motivated, don't expect instant results. If he manages six weeks without gambling and then goes to a casino, try to remember that that is still progress.
Suicidal threats are a terrible thing to have to deal with, but remember that in practice it is very, very hard for someone to kill themselves. Rather than giving in to the threats, try to make the environment safe by staying with your son when possible, ensuring that dangerous objects (knives, guns, medicines, razor blades) are hidden and so forth. If you can't do these things, remember that it is totally appropriate to call emergency services if you believe there is an immediate risk someone may kill themselves. Do not give in to the threats as this may lead to further suicidal threats and risky behaviour.