We discuss a new method for finding BL Lac objects based on their multifrequency properties. BL Lacs are both X-ray and radio loud, thus a programme aimed at the optical identification of radio emitting X-ray (REX) sources has the potential of being highly efficient (expected success rate of ~20-30 per cent) in finding them. Here we present the results of a pilot study in which 17 REX have been obtained from the cross-correlation of X-ray sources from 35 PSPC images with a 6-cm radio catalogue. Eleven sources have been identified, either through optical spectra obtained by us (6 sources) or by a search in the literature (5 sources), with a success rate of 2/11. We intend to pursue a systematic search for BL Lac objects, exploiting all the available and suitable PSPC data and radio catalogues. Our goal is to create a sample of more than 100 BL Lac objects at an X-ray flux limit of ~5x10^-14 erg cm^-2 s^-1. This sample will allow us to fill the parameter space of the BL Lac population in a more extended way than previously possible and, therefore, to check more thoroughly the relation between statistical and physical properties of this class of objects.