He is the kind of person who will kidnap the most valuable person in your world and cover them in semtex, just to play a game.
He owns the security guard at the end of the road, the beggar in the corner (unless Sherlock got to him first), your take-away delivery boy, the local librarian - whether with money, threat or blackmail doesn't matter.
And yes, he'll threaten to skin you alive and turn you into shoes, and you can be sure he'll follow through if he deems it necessary. He has his fingers in everybody's pockets, legitimate or not, and Sherlock is really not impressing how dangerous he truly is.
He also has a vampire on side (Katherine kindly confirmed that for me she really has an inflated sense of pride) and if there is any benefit to be gained from siding with the demons, he undoubtedly has one of them, too.