Apple

TLDR: Phone stolen (pickpocket), put in lost mode. Now it's in China. I'm getting aggressive phishing texts to factory reset it (presumably so they can set it up new) with threats that they have all my info from the phone. I'm wondering what the best option is to protect my data without letting someone use the phone ever again. Should I press the button that says "erase this iPhone" or will that allow someone access to use the phone?

Additional details: Stolen in Miami at a music festival, took over a month to show up in Miami. Already have a new phone. Stolen phone is still on my Apple ID, but in lost mode. I have spoken with Apple and not received a articulate specific course of action. The phishing messages are begging me to remove it from my devices in find my and they are threatening that they have all my information (not to mention threatening self harm, and their daughter, which I presume is part of a well run scam). I presume the absolute safest is to erase and remove from my account, but that will allow the stolen phone to be used again, which doesn't sit well with me. I'm hoping someone here can help me ensure I'm doing the most to protect my data without letting someone set my phone as new or use it in any way. Thanks!