I'm UK too. As I see it your options are one or more of:
ignore the incident without comment and don't give him the satisfaction of upsetting you;
block him so he can't do it again. If he needs your number for other reasons then he gave up that right when he sent you that disgusting stuff; now he needs other routes, which you can block as needed;
raise the issue with your team leader or manager advising that you just want it to stop, you don't want disciplinary action taken against him, but if he's a repeat offender then the company might take it further anyway (which would be appropriate and correct);
DO NOT go to HR. They are not your friend or ally. They are there to protect the company and it's just as likely you'll be terminated as him. HR is a last resort, if you can't get any satisfaction from management, and you keep suffering this kind of abuse (because that's what it is; I'm not exaggerating), only then go to HR and even then only after notifying everyone concerned - the bully/bullies and your manager - that's what you're going to do.
If this cockwomble gets fired because of sending that video to you, you have nothing to be ashamed of. It's his own stupidity that got him there, not you "grassing him up" or whatever other cockney nonsense you might have knocking around inside your noggin. You don't owe that wanknugget anything, especially after he sent you stuff you explicitly said you didn't want to see.