You're getting a lot of advice from people telling you to call the FBI, INS or Homeland Security, but I suspect you will get little if any response from them.
I don't know which Georgia county you are in, but I would never call my city police department - they are inept and corrupt. I would call my sheriff's office because they are better trained, more intelligent and more likely to deal with a problem. And that holds true in nearly every Georgia county except Fulton, maybe Clayton and probably DeKalb. Go to the sheriff's office rather than PD next time.
You might also follow up with the Police Department. If you're in a smaller community, you could call and ask to speak to the police chief (you'll probably get a supervisor) and tell him/her what happened, that you were unsatisfied with the response from the officers who apparently didn't get the guy ID'd. Ask him if your city has a peddler's license, and did this guy have one. Follow up on that end, too, to force a better response next time.
I am in Cherokee county.