The IEEE 802.16/WiMAX standard has fully embraced multi-antenna technology and can, thus, deliver robust and high transmission rates and higher system capacity. Nevertheless, due to its inherent form-factor constraints and cost concerns, a WiMAX mobile station (MS) should preferably contain fewer radio frequency (RF) chains than antenna elements. This is because RF chains are often substantially more expensive than antenna elements. Thus, antenna selection, wherein a subset of antennas is dynamically selected to connect to the limited RF chains for transceiving, is a highly appealing performance enhancement technique for multi-antenna WiMAX terminals. In this paper, a novel antenna selection protocol tailored for next-generation IEEE 802.16 mobile stations is proposed. As demonstrated by the extensive OPNET simulations, the proposed protocol delivers a significant performance improvement over conventional 802.16 terminals that lack the antenna selection capability. Moreover, the new protocol leverages the existing signaling methods defined in 802.16, thereby incurring a negligible signaling overhead and requiring only diminutive modifications of the standard. To the best of our knowledge, this paper represents the first effort to support antenna selection capability in IEEE 802.16 mobile stations.