Most people make the mistake of thinking that you are more fond of their pets (and sometimes children) than you actually are. I like to treat people how I would like to be treated, so I would talk to the neighbor after the first incident and let them know what the problem is with their animal running loose. If they don't care any more for their pets than to ignore your request, I would call the pound and/or report them for 'dog at large'. If it is just an every once in a while occurance (like the little bugger is a real escape artist), regular old household amonia is much better than pepper spray. Same uncomfortable effect without making the dog hurt for a longer period of time (or you if the wind blows it back on you).
Never tell someone that you are going to kill their dog.
Never tell someone that you are going to kill their dog.