"It still hasn't sunk in yet, but it is a really great feeling," said Wilhelm. "Things just get better and better."
The 32-year-old covered the course in 44 minutes and 3.1 seconds after winning the sprint race on Saturday and finishing second in the pursuit on Sunday.
"I was thinking this morning during the warm up, how good it would be to win another medal. And now I have done it, it's a dream come true."
The silver medal went to Solvenia's Teja Gregorin, who was 39.5 seconds slower. Norway's Tora Berger finished 46.5 seconds behind Wilhelm for the bronze medal.
All three missed just one of their 20 targets.
Three-time medallist Wilhelm has said she will retire from the World Cup Biathlon after next season and had planned to "save the win in the 15k for the Olympics in 2010."