In this paper, we propose a novel Artificial-Noise- Aided PHYsical layer Phase Challenge-Response Authentication Scheme (ANA-PHY-PCRAS) for practical orthogonal frequency division multiplexing (OFDM) transmission. In this new scheme, Tikhonov-distributed artificial noise is introduced to interfere with the phase-modulated key for resisting potential key-recovery attacks. Then, we address various practical issues for ANAPHY- PCRAS with OFDM transmission, including correlation among subchannels, imperfect carrier and timing recoveries. Among them, we show that the effect of sampling offset is significant and a search procedure in the frequency domain should be incorporated for verification. With practical OFDM transmission, the number of uncorrelated subchannels is often insufficient. Hence, we employ a time-separated approach for allocating enough subchannels and a modified ANA-PHY-PCRAS is proposed to alleviate the discontinuity of channel phase at far-separated time slots. Finally, the key equivocation is derived for the worst case scenario. We conclude that the enhanced security of ANA-PHY-PCRAS comes from the uncertainties of both the wireless channel and introduced artificial noise, compared to the traditional challenge-response authentication scheme implemented at the upper layer.