I'm really sorry that happened to you.. I really hate cheating. I never really thought about it until someone I loved became "the other woman". She kind of abandoned all of us for him.. and then he abandoned her.
I would seriously think about consulting Police if he keeps throwing objects at your house and harassing you.
Please don't be scared to. I know it's natural to be scared, but you have a right to whatever protections they can offer you. I don't know what those protections are, but it can't hurt to ask at the station. I mean let's be honest, he can't be surprised if he receives an AVO or gets arrested.
I would recommend that you don't put any expectations on yourself.
It's a huge thing to go through. Take your time. It's OK to feel upset, and angry, and whatever you feel right now. Some people recommend just grieving the relationship and allowing yourself to feel for a quarter of the time that you were together. Some people say half, but some people may need even more than that. Just don't tell yourself things like "why are you so upset, it's been so long" or "he's not even worth being upset over" et cetera.
At the same time, try and avoid any unnecessary reminders.
If you can take away things that remind you of him, please do. Don't think about what happened too deeply, or think about all the times that he may have cheated on you, and what you suspected and why, because then it becomes more about him than it does about you.
It's kind of a spectrum, but you have to put yourself first. Be aware of when it's consuming you, and do something else for a little while to take your mind off it. There are so many things about you that define you more than your relationship ever can. What do you enjoy doing, what do you love, what impact do you want to have on the world? Those questions will really come to the fore later down the track, when you've healed a bit, but it's still important to remember that you're a complex and powerful human being, not JUST someone who's been hurt.
Check out this song!
Hayley Williams, Paramore captain, came out with a solo album earlier this year, and one of the songs talks about how she was cheated on. She also has a couple of songs on After Laughter that talk about her experiences as well, namely Forgiveness and Tell Me How, off the top of my head.
I don't know how to sing, but if I did, I would dedicate this song as a "(censored)" to the guy that cost me my friend. It's not that aggressive though LOL, maybe I should make a harder version of it? 
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It's funny to think about giving him the middle finger, even though he's never going to see it, but that's the whole point, I guess. It lets you embrace a bit of anger. It's not about him.
As you can see, it's not simple, but I believe in you.
This is really rambly, I'm so sorry, but dealing with breakups is very complicated, especially when the circumstances are so extreme. You can do it, though. You've already done something really brave in reaching out for support. I hope I've at least entertained you with my response! More to the point, I hope you can take some meaningful advice from it.
All the best 
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