Trick or Treating really isn't done in Japan. Some Halloween customs are practiced, but only a few follow or know of trick or treating.
"okashi wo kurenai to itazura suru yo." means 'if you don't give me candy I will trick you", however that isn't a very polite thing to say on a stranger's doorstep that has no idea why you are there wearing a costume and brandishing a bag.
If at all it would be more commonly said as "Turiko or tureeto" (Trick or treat).
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The most common and natural way to say 'happy Halloween' would probably be ãƒãƒƒãƒ”ーãƒãƒã‚¦ã‚£ãƒ¼ãƒ³ (happii harouin) in Japanese.