In this paper, we propose a sequential hybrid beamforming design for multi-link transmission over mmwave frequency bands. As a starting point, a baseline data communication link is established via traditional analog beamforming at both the BS and UE. If an extra RF chain is available at the UE, it can continue to probe the propagation environment at the same frequencies. In case the environment is favorable and system resources allow, a secondary data communication link is established to enable multi-stream transmission. In principle, the secondary link could be served by the same BS and/or one or several other BS(s). To initialize the secondary data communication link, a parallel beam search scheme is proposed, which helps the UE/BS to find a suitable beam pair with given optimization criteria without interrupting the baseline data communication. By applying the proposed two-step approach, hybrid beamforming becomes an add-on feature that can be easily switched on over an analog beamforming enabled system without interrupting its operation whenever system requires. Meanwhile, the information obtained by deploying the proposed parallel beam search scheme can also be used for deciding a back-up beam pair if signal blockage occurs to the baseline data communication link.