Seriously, the action you should have taken the first time was to laugh. keep this in mind for the future. You really need to expand your definition of professional beyond never say or do anything except work. It is harming your career. Thinking of them as behaving unprofessionally is counterproductive and wrong. Most of the best workplaces have a lot of informal teasing and joking going on. It actually generally helps productivity not harms it.
Now you are in a mess that is harder to get out of than if you had acted appropriately when it first happened.
First, none of your proposed actions are appropriate. Do not do any of them.
Not knowing exactly the nature of the teasing, it is hard to say exactly what to do. Is this good-natured teasing just trying to get you to loosen up and become part of the organization or has this gone beyond that into actual harassment because you come across as "holier than thou" and they intensely dislike you and are trying to run you off. People can get very nasty when their first harmless gestures of friendship are ignored or turned away. It is hard to say if your current co-workers are at this point from our perspective out here in Internetland.
Since you clearly don't understand ordinary teasing, it will be hard for you to make this determination as to how harmless this is at this point in time. If there is anyone whose judgement you trust at this place (or if you have a mentor), it is time to have a conversation in private with them about the teasing and what you should do in the context of this particular organization's culture.
If there is someone whose judgement you trust outside the workplace, you could explain the details of what is happening and ask whether they think it is good natured teasing that you should positively respond to or harassment which is handled differently.
If you have no one else to ask, talk to your boss about it and how it is affecting you and how you don't know how to get it to stop.
Ignoring the problem will most likely make it worse as they try to get any kind of a reaction from you.
In general when you are harassed (If you determine that what is happening is beyond the ordinary give and take of the office), the first step is to POLITELY ask them to stop. Under no circumstances get angry or yell. If you over react, you will be the person who will lose in the exchange. If they are decent people and they find out that this upsets you then they will stop. However, at this point it may not be likely, but asking politely and explaining that it upsets you is really the only choice. And you will need to move to the next step.
The next step if they do not stop is to ask your boss for help in getting them to stop. If he is not helpful or downplays the seriousness, then you can either go to HR about it (which will make you a pariah at most work places, so think really carefully before you do this). Or you can move on to an organization that is less full of people who like to play pranks. And next job, ease up a little and laugh at them the first time.