First of all, I wouldn't threaten to leave the company.
Let me explain. During a performance review, you are (probably) going to be asked what you like and dislike about your year so far. They usually ask you if you'd like to work on anything specific or just keep doing what you're doing. Granted they might not ask those questions, but it would definitely be a place where you could talk to your manager and ask about what you can do, if you can get different projects this year, etc. Just say you're wondering what projects they have in mind, and see if maybe you can suggest and/or push your manager a certain direction.
Telling him "if things don't change, I quit", will probably not put you in a great light, and might even jeopardize your job. What I would do is make a list of the things you want to work on, ask your manager if any of the things you want to work on are feasible for the company and gauge his/her reaction. If they don't or can't give you the projects you are looking for, then it's probably best to look for another job.
Obviously it'd be nice to give them a heads up, but it's not up to you to make sure their feelings aren't hurt, it's up to you to watch out for yourself. The best you can do is make sure you give proper notice if you do find another job, and do everything you can to finish out the work you're on before leaving. Leaving on good terms is nice, but it's not always up to you.