My mother was a lawyer and did a lot of sexual harassment / workplace descriminiation work. Obviously that doesn't make me a lawyer or anything close to one, but she would have advised going to HR as soon as possible (I even asked just now to be sure.) It's important to document in/action and/or a pattern of abuse on the company's part. You can (and should) certainly document these things on your own, but if you never go to HR the company will have an avenue of escape open ("s/he never told us, this is a rogue manager, we had no idea", etc.)
BTW, you sue your company and you're gone either way.