OP - I feel for you. If you were annoyed with them for painting their faces blue and doing yoga on the front lawn, I'd tell you to MYOB, live and let live. But what you describe is bringing a criminal and potentially dangerous element to your immediate area, so I'm in the camp that you should document your findings and call authorities when warranted. And honestly, if it were me, I'd do it anonymously. Another thing I've found works in this situation is to kill the offenders with kindness. Wave, smile, say hi, and hopefully they'll respect it enough to do no harm to you or your property during all this. Only other path I can think is to write to city/town council. Our town council is more interested in things like this than our town police are, when there's been no grounds for arrest at least.
I didn't read all the posts about HOAs, but we live in one and there are many pros and cons. But it's worked out for the better for us. While there's often bickering amongst neighbors at our meetings, we do tend to rally when there's a situation like this (never had one as bad though). It also helps maintain our property value with the bylaws that are in place to prevent houses from being run down, painted odd colors, etc.