North Korea's threats are empty. They serve two purposes:
1. To get attention and aid from the international community
2. To bolster their domestic propaganda, which is the only thing keeping the country together.
They have no real ability to pose a threat to us. If they did, we would have heard about it explicitly. For now, all we hear about is the various components being tested, and the possibility that those could be assembled into a weapon. A completed and functioning weapon is a different ballgame, and they do not have the wherewithal to keep that kind of thing a secret for long.
Moreover, if you really think about it, you'll see that it is not in their best interest to do anything damaging to us or our allies. In fact, it is also in their best interest to keep their nukes AWAY from our enemies. Why would they harm their biggest potential source of aid and leverage in the international community? If they take any real hostile action whatsoever, or allow a warhead to fall into the wrong hands, they will be flattened without a second thought. The leadership of North Korea know this full well. People who are in power want to stay in power, and it's hard to be in power when everyone's dead.
They threaten and bluster and kick and scream, and they have just enough technology and programs to cause a scare. This gets them what they want. Why would they want to risk more?