Bullying and the Police?

My two friends have been bullied for 5 months now, it is physical and we have done everything we can to stop it. They have been through the headmaster but all the school can do is "give them a warning". All three of us have decided that we should get the police involved but what do you say to them? Keeping in mind that we are all in secondary school (year seven and nine)and our parents know. It happens outside of school as well as in.