Bomb threats can happen face to face and in the mail but are also quite common over the phone. If you receive a bomb threat over the phone you should write down all of the information they give you no matter how small or irrelevant it may seem. Try to remain calm on the phone and if practical you should keep the caller talking to get as much information as possible and get someone else to call the police while you are on the phone.
Note the phone number if possible and if you get the threat via text then do not reply, forward, or delete it. After all of this, report it to the relevant person if at work or call the police if at home.