The solution of complex rarefied flows with the BGK equation and the Discrete Velocity Method (DVM) requires a large number of velocity grid points leading to significant computational costs. We propose an adaptive velocity grid approach exploiting the fact that locally in space, the distribution function is supported only by a subset of the global velocity grid. The velocity grid is adapted thanks to criteria based on local temperature, velocity and on the enforcement of mass conservation. Simulations in 1D and 2D are presented for different Knudsen numbers and compared to a global velocity grid BGK solution, showing the computational gain of the proposed approach.