We consider a large-scale MIMO system operating in the 60 GHz band employing beamforming for high-speed data transmission. We assume that the number of RF chains is smaller than the number of antennas, which motivates the use of antenna selection to exploit the beamforming gain afforded by the large-scale antenna array. However, the system constraint that at the receiver, only a linear combination of the receive antenna outputs is available, which together with the large dimension of the MIMO system makes it challenging to devise an efficient antenna selection algorithm. By exploiting the strong line-of-sight property of the 60 GHz channels, we propose an iterative antenna selection algorithm based on discrete stochastic approximation that can quickly lock onto a nearoptimal antenna subset. Moreover, given a selected antenna subset, we propose an adaptive transmit and receive beamforming algorithm based on the stochastic gradient method that makes use of a low-rate feedback channel to inform the transmitter about the selected beams. Simulation results show that both the proposed antenna selection and the adaptive beamforming techniques exhibit fast convergence and near-optimal performance.