We have developed and tested an antireflection (AR) coating method for silicon lenses at cryogenic temperatures and millimeter wavelengths. Our particular application is a measurement of the cosmic microwave background. The coating consists of machined pieces of Cirlex glued to the silicon. The measured reflection from an AR coated flat piece is less than 1.5% at the design wavelength. The coating has been applied to flats and lenses and has survived multiple thermal cycles from 300 to 4 K. We present the manufacturing method, the material properties, the tests performed, and estimates of the loss that can be achieved in practical lenses.