Here we have what ought to be two sentences.
“If you break into my home, the police are the least of your worries. In fact, they may be your only hope.”
A dependent clause that precedes a main clause should be followed by a comma (says The Chicago Manual of Style, so you don’t have to just take my word for it). This is why the first sentence needs a comma.
Don’t use dashes just to separate sentences from each other; that’s not what they’re for.