Also, don't do it without being ready to make the switch--you never know when your company will call your bluff and say "ok, enjoy your new job, your last day is today."
That heavily depends on your region. In places like the EU you cannot be fired on the spot for something like that.
Generally if you threaten to quit you should be prepared to quit. In the US most employment is considered "at will" unless a contract specifies otherwise (and a few states have different laws). Meaning employer or employee can terminate the agreement at any time for any reason or no reason. The exception to that is if you were fired for prejudicial reasons and you are a protected class (sexism, racism, etc). That means I can quit today with no notice required. It also means my employer can hand me my last paycheck today and tell me to take a hike.
An example of this. My wife's employer recently found out she had applied for a job at another company. They fired her that day. She didn't get the other position and the previous employer is blocking unemployment compensation.
Yes, I agree that if you threaten to quit, you should be willing/able to follow through. And yes in the USA, the could call your bluff and sack you, but in the EU, they cannot do that. So the equation has changed.
That heavily depends on your region. In places like the EU you cannot be fired on the spot for something like that.