Nonreciprocal devices that permit wave transmission in only one direction are indispensible in many fields of science including, e.g., electronics, optics, acoustics, and thermodynamics. Manipulating phonons using such nonreciprocal devices may have a range of applications such as phonon diodes, transistors, switches, etc. One way of achieving nonreciprocal phononic devices is to use materials with strong nonlinear response to phonons. However, it is not easy to obtain the required strong mechanical nonlinearity, especially for few-phonon situations. Here, we present a general mechanism to amplify nonlinearity using $\mathcal{PT}$-symmetric structures, and show that an on-chip micro-scale phonon diode can be fabricated using a $\mathcal{PT}$-symmetric mechanical system, in which a lossy mechanical-resonator with very weak mechanical nonlinearity is coupled to a mechanical resonator with mechanical gain but no mechanical nonlinearity. When this coupled system transits from the $\mathcal{PT}$-symmetric regime to the broken-$\mathcal{PT}$-symmetric regime, the mechanical nonlinearity is transferred from the lossy resonator to the one with gain, and the effective nonlinearity of the system is significantly enhanced. This enhanced mechanical nonlinearity is almost lossless because of the gain-loss balance induced by the $\mathcal{PT}$-symmetric structure. Such an enhanced lossless mechanical nonlinearity is then used to control the direction of phonon propagation, and can greatly decrease (by over three orders of magnitude) the threshold of the input-field intensity necessary to observe the unidirectional phonon transport. We propose an experimentally realizable lossless low-threshold phonon diode of this type. Our study opens up new perspectives for constructing on-chip few-phonon devices and hybrid phonon-photon components.