Running won't do anything really he'll catch you. The only thing you can really do is accept him. I've been watched since I was little as well. And when I finally heard of the slender man over a year ago i knew there was a connection. Eventually the sickness went away for me save headaches every once in a while when he's around. But i accept him as part of my life. He's there a lot, and he isnt leaving. Hey, maybe he's actually guarding me. After I broke free from becoming a proxy I started recalling memories when I was blacked out. And one was someone telling me I was a special attribute. I didn't realize what that meant until early this year.
I'd just let him follow you, just make sure if he does try to hurt you get the hell out.