The distinct ability of spatial modulation (SM) to effectively utilizing spatial degrees of freedom with only a single radio frequency chain renders it promising for millimeter wave (mmWave) communications. In this work we investigate the transmitter design employing the SM concept in mmWave multiple-input multiple-output (MIMO) systems. To introduce beamforming gain while maintaining the advantages of SM, we apply the virtual antenna concept to SM and construct spatial signatures with the aid of analog beamforming. For a given configuration of the space-signal constellation, we formulate an optimization problem for designing the analog beamforming matrix and propose two approaches via exploiting characteristics of mmWave channel and transmitter architecture to acquire effective solutions with low complexity. To further improve the performance, we optimize the configuration of the spacesignal constellation by selecting the optimal sizes of spatial and signal constellations while guaranteeing the transmission rate requirement. The overhead and design complexity of proposed design approaches are analyzed. Besides, we exploit simulations to evaluate the proposed designs, and briefly compare between analog beamforming aided SM-MIMO and conventional MIMO to show advantages of our designs.