Precoding for frequency-selective multiple-input single output channels is often performed on a sub-band basis in frequency-domain. Such sub-band precoding will also be adopted in the upcoming 3GPP Release 15 New Radio. Exploiting the large available bandwidth at millimeter-Wave (mmWave) frequencies will significantly increase the number of sub-bands, and hence the feedback overhead when sub-band precoding is applied. In this letter, we propose a precoding scheme that exploits the sparsity of mmWave channels by performing precoding in the space-delay domain. It is shown that the proposed precoder outperforms the former in terms of average mutual information and reduces the feedback overhead.