I will also give the Play Therapy based alternative with a short explanation of why it is more effective.
Kids hear the word “no” far too frequently (Read more about that here).
First, you are threatening a child, which makes them fearful of you.
Train yourself to explain the reason behind your statement.
“That is not safe” or “Your skin is not for coloring on” is specific and helps them learn why things are off limits, rather than just that they are.
By the time a child has gotten in trouble for something, they already feel guilty, sorry and embarrassed about it.
Threatening to tell someone else rubs salt in the wound.
“If you choose to (continue that behavior), you choose to (receive whatever consequence has already been established as a punishment)”.