Today's virtual reality (VR) headsets require a cable connection to a PC or game console. This cable significantly limits the player’s mobility and hence her/his VR experience. The high data rate requirement of this link (multiple Gbps) precludes its replacement by WiFi. Thus, in this paper, we focus on using mmWave technology to deliver multi Gbps wireless communication between VR headsets and their game consoles. The challenge, however, is that mmWave signals can be easily blocked by the player's hand or head motion. We describe novel algorithms and system design that allow such mmWave links to sustain high data rates even in the presence of a blockage, enabling a high quality untethered VR experience.