Yes, this was a common occurrence, This was played out in many areas with german/czech heritage. More often than not (according to my great grandmother---she lived to be 102 and was born in 1896) they would send letters to the pastor. Sometimes a few would come in occasionally. But mostly it was a scare tactic. I think that most people never saw this side of the KKK. They always just assumed it was just for hatred of blacks. I have included a letter sent to a local church.
http://i.imgur.com/BmTc8tl.jpg