Work is for work, not harassment games. You made the first mistake in engaging in harassment. The only reason you did this was to get a rise out of him. You got a bigger reaction than you expected, but you did this to embarrass him and thus you behaved as a bully. You upset and embarrassed a colleague to the point where he went to HR and had the pictures removed. You then apparently were not very cooperative about removing the picture from your hard drive (or at least it was perceived that way). So the guy lost his temper. Not cool.
But if you go to HR to complain at this point, they are going to consider that you are in the wrong (because they already decided this when they made the pictures be removed from the hard drive and because you started the whole problem with inappropriate actions) and be more likely to take action against you or, at best, against both of you. I see no scenario where you win if you go to HR. Certainly it will further damage any possible relationship with the person you upset which is rarely a good idea. You might even damage your relationships with other people in your office as it will likely get back to them.
What you need to do now is make sure you remove the file and show the person it is removed and the Trash can emptied so that you cannot easily get it back. Do not move the file off to removable media in the process either. If you are found to still have a copy of this photo later after being asked to delete it, HR is going to be far more inclined to get rid of you as a troublemaker. Then you need to sincerely apologize and, this is critical, never do any teasing to this person again especially concerning any photographs.
Next you need to adjust your idea of what is appropriate at work. What is funny in a personal situation is often not funny or appropriate at work. You will have to work with a lot of people who do not share your sense of humor. I would suggest you review your sense of humor.
Incidentally trying to embarrass a work colleague is a counterproductive thing to do and something you should think twice or even ten times about before doing again to any colleague including ones you don't like. Coworkers are not automatically friends (even though some can be), so start treating them with professional courtesy not bullying and harassment.