like >>2 says, you must be very clear to him that affective blackmail is totally unacceptable (I can already imagine him later threatening to commit suicide if you break up with him).
What I don't get is what you want at the moment: to break up with him, or to cool off things? If you want to break up, just do it and return the necklace, if that bothers you. If you want to cool off then you really need to explain him that he must lower his pressure and stop any form of blackmail. Be very educational about it (i.e. say exactly and clearly what you want from him and how, otherwise he won't understand it). Explain to him that you like him, and you appreciate that he cares for you, but you don't like the way he shows his affection. And explain him how he should express his affection in a way that is not offensive to you.
Basically he seems very inexperienced, insecure, and a tad egocentric. so you must invest heavily in communication with him to correct this.