In this article, we present a comprehensive analysis of the hardware and software solutions required to enable frequency scalable load-pull test benches operating in the (sub)mm-wave frequency bands. First, the constraints arising from the harmonic (nonlinear) operation of mm-wave extender modules are discussed and analyzed. Then, different hardware solutions for signal generation and control, together with the specific software algorithms required to realize a frequency scalable load-pull test bench, are presented. The measurement setup key performances are analyzed in different frequency bands up to 500 GHz, i.e., waveguide bands from WR10 up to WR2.2. Finally, the load-pull measurements on an HBT device at 75 GHz and a two-stage differential PA at 135 GHz are presented to show the capability of the proposed test bench to characterize and optimize mm-wave nonlinear components.