Utilizing the mmWave band can potentially achieve the high data rate needed for realistic and seamless interaction within a virtual reality (VR) application. To this end, beamforming in both the access point (AP) and head-mounted display (HMD) sides is necessary. The main challenge in this use case is the specific and highly dynamic user movement, which causes beam misalignment, degrading the received signal level and potentially leading to outages. This study examines mmWave-based coordinated multi-point networks for VR applications, where two or multiple APs cooperatively transmit the signals to an HMD for connectivity diversity. Instead of using omnireception, we propose dual-beam reception based on the analog beamforming at the HMD, enhancing the receive beamforming gain towards serving APs while achieving diversity. Evaluation using actual HMD movement data demonstrates the effectiveness of our approach, showcasing a reduction in outage rates of up to 13% compared to quasi-omnidirectional reception with two serving APs, and a 17% decrease compared to steerable single-beam reception with a serving AP. Widening the separation angle between two APs can further reduce outage rates due to head rotation as rotations can still be tracked using the steerable multi-beam, albeit at the expense of received signal levels reduction during the non-outage period.