First of all it all depends on the type of harassment. If it is from someone on Facebook, just block them, if it is a friend that has crossed the line, then befriend and let them know why. If is from a coworker then report, I had a case like that years ago, someone wanted to have a relationship with me, and I am married, one time he went to far and I asked him to stop not to talk to me again or I would report him. Then weeks later I got a letter from him hand written and signed, accusing me of some stuff and telling me thinks that had happened at work that he could proof it was me, etc. I reported him but the manager for my department at the time, was an old English woman that was mean and stupid, she said that everything was my fault and I had provoked what had happened. The good think out of that was that he was transferred to a different department one that did not deal with mine at all, but he was stalking me. Then some months later he sent me another letter this time type in but still signed, by that time we had a very good Site manager, a man, I went to him with the second letter, gave him the background and he said to me, OK, from now on I would like you to check with me when you go out to lunch or for the day, I will keep watch. And he saw what I was complaining about. One day the guy did not go to work, but was out of the building at the end of the day.
Then the manager talked to the English woman and the other lower manager involved and they had no excuse, just blamed on me. HR got involved and they told me that the first time around nobody had put anything on the record, no complained no actions nothing. So they could not fired him, I made a police report for the stalking, and the police told me it was work related and not criminal.
At the end of everything, he was given a warning and told to not even look at me, if I was walking by he had to turned around and go the other way, if I was on the elevator he would have to wait for the next one. The English manager was gone 3 months later and reprimanded for not doing a good job.
If the harassment comes from phone calls and other miscellaneous stuff then change number or not answer the phone if you do not know who is it. My friends and family has my cell number, if it is important they know how to reach me, if someone calls the house then it is not important enough to get my attention. Leave me a message and if I want to I will return your call. That is what I told a guy that was trying to sell us an insurance, left messages on VM and send 2 letters and then finally one day I answer the phone and told him so, if we were interested in what you are offering I would have returned your call so please do not call me again.
Like I said it depends on the who is doing the harassment to see what you should do.