We demonstrate the anti-reflection properties of lithographically defined subwavelength gratings applied to the facets of integrated waveguides realized in the InP membrane-on-silicon platform. The subwavelength gratings are based on the gradient index effect to create a smooth index transition between the core material and air, making it possible to obtain reflections below -30dB at a wavelength of 1550 nm for both TE and TM polarized modes, as shown by 3D finite-difference time-domain simulations. Characterizations performed using Mach-Zehnder interferometers as test structures show relative reflections as low as -25dB, confirming the effectiveness of the technique.