Hybrid analog/digital precoding has attracted growing attention for millimeter wave (mmWave) communications, since it can support multi-stream data transmission with limited hardware cost. A main challenge in implementing hybrid precoding is that the channels will exhibit frequency-selective fading due to the large bandwidth. To this end, we propose a practical hybrid precoding scheme with finite-resolution phase shifters by leveraging the correlation among the subchannels. Furthermore, we utilize the sparse feature of the mmWave channels to design a low-complexity algorithm to realize the proposed hybrid precoding, which can avoid the complication of the high-dimensionality eigenvalue decomposition. Simulation results show that the proposed hybrid precoding can approach the performance of unconstrained fully-digital precoding but with low hardware cost and computational complexity.