I believe a cleaner way to prove it is the following.
It is not difficult to verify that the 4-vectors matrix representation of the generators of the Lorentz algebra can be written as follow (see Wu-Ki Tung "Group Theory" page 185 or Maggiore "A modern introduction to Quantum Field Theory" page 19):
$(J^{\mu\nu})^\sigma_{\phantom.\alpha} = i(\eta^{\mu\sigma}\delta^\nu_\alpha - \eta^{\nu\sigma}\delta^\mu_\alpha)$
where $\mu\nu$ identifies the generator and $\sigma\alpha$ the raw,column matrix element of that generator.
Remind also the formula for the inverse of the Lorentz trasformation matrix:
$(\Lambda^{-1})^\rho_{\phantom.\sigma} = \Lambda^\chi_{\phantom.\phi}\eta_{\sigma\chi}\eta^{\rho\phi}$
Using the two equations above is not difficult to get the following two equations:
$(\Lambda^{-1})^\rho_{\phantom.\sigma}(J^{\mu\nu})^\sigma_{\phantom.\alpha}\Lambda^\alpha_{\phantom.\beta} = i(\Lambda^\mu_{\phantom.\phi}\Lambda^\nu_{\phantom.\beta} - \Lambda^\mu_{\phantom.\beta}\Lambda^\nu_{\phantom.\phi})\eta^{\rho\phi}$
$(J^{\phi\sigma})^\rho_{\phantom.\beta}\Lambda^\mu_{\phantom.\phi}\Lambda^\nu_{\phantom.\sigma} = i(\Lambda^\mu_{\phantom.\phi}\Lambda^\nu_{\phantom.\beta} - \Lambda^\mu_{\phantom.\beta}\Lambda^\nu_{\phantom.\phi})\eta^{\rho\phi}$
Since the RHS are equal then also the LHS are equal, and you get:
$(\Lambda^{-1})^\rho_{\phantom.\sigma}(J^{\mu\nu})^\sigma_{\phantom.\alpha}\Lambda^\alpha_{\phantom.\beta} = (J^{\phi\sigma})^\rho_{\phantom.\beta}\Lambda^\mu_{\phantom.\phi}\Lambda^\nu_{\phantom.\sigma}$
Note that in the LHS you have the product of the three matrices $(\Lambda^{-1}J^{\mu\nu}\Lambda)$, while in the RHS you have a linear combination of the matrices $J^{\phi\sigma}$, and on both side $(\rho,\beta)$ is the (raw,column) that identify the element in the resultant matrix: $(M^{\mu\nu})^\rho_{\phantom.\beta}$.
So as a matrix equation It can be written as:
$\Lambda^{-1}J^{\mu\nu}\Lambda = J^{\phi\sigma}\Lambda^\mu_{\phantom.\phi}\Lambda^\nu_{\phantom.\sigma}$
Which proves that the generators $J^{\mu\nu}$ transform as a tensor under similarity Lorentz transformation.
The proof is much more easier when the generators of the Lorentz algebra are represented by differential operators instead of matrices (for the definition of $J^{\mu\nu}$ with differential operator see Schwartz "Quantum Filed Theory" page 161, or Zee "Group Theory" page 434, or Maggiore "A modern introduction to Quantum Field Theory" page 30):
$ J^{\mu\nu} = i(x^\mu\partial^\nu - x^\nu\partial^\mu) $
$ x^\mu \xrightarrow[\text{}]{\text{Lorentz}} \Lambda^\mu_{\phantom.\rho} x^{\rho}\,\,,\,\, \partial^\mu \xrightarrow[\text{}]{\text{Lorentz}} \Lambda^\mu_{\phantom.\rho} \partial^{\rho}$
$ J^{\mu\nu} \xrightarrow[\text{}]{\text{Lorentz}} i(\Lambda^\mu_{\phantom.\rho} x^{\rho}\Lambda^\nu_{\phantom.\sigma}\partial^\sigma - \Lambda^\nu_{\phantom.\rho} x^{\rho}\Lambda^\mu_{\phantom.\sigma}\partial^\sigma) = i(\Lambda^\mu_{\phantom.\rho}\Lambda^\nu_{\phantom.\sigma}x^\rho\partial^\sigma - \Lambda^\nu_{\phantom.\sigma} \Lambda^\mu_{\phantom.\rho}x^\sigma\partial^\rho) = \Lambda^\mu_{\phantom.\rho}\Lambda^\nu_{\phantom.\sigma} J^{\rho\sigma} $