We have developed and tested an antireflection (AR) coating method for silicon lenses used 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.