This paper investigates adaptive signal shaping methods for millimeter wave (mmWave) multiple-input multiple-output (MIMO) communications based on the maximizing the minimum Euclidean distance (MMED) criterion. In this work, we utilize the indices of analog precoders to carry information and optimize the symbol vector sets used for each analog precoder activation state. Specifically, we firstly propose a joint optimization based signal shaping (JOSS) approach, in which the symbol vector sets used for all analog precoder activation states are jointly optimized by solving a series of quadratically constrained quadratic programming (QCQP) problems. JOSS exhibits good performance, however, with a high computational complexity. To reduce the computational complexity, we then propose a full precoding based signal shaping (FPSS) method and a diagonal precoding based signal shaping (DPSS) method, where the full or diagonal digital precoders for all analog precoder activation states are optimized by solving two small-scale QCQP problems. Simulation results show that the proposed signal shaping methods can provide considerable performance gain in reliability in comparison with existing mmWave transmission solutions.