I took a Behavioral Economics course in the winter, and we came across this question (although briefly). You can gain intelligence through a couple of different ways. If you want a specialized skill, you can practice it over and over again and it will take a decent amount of years to reach the "expert" level. However, once you stop practicing, that part of your brain will go back to normal and you won't have picked up any real skills.
If you want to gain all-around intelligence, you can do it through a combination of exercise and challenging yourself. Think of your brain as a bunch of little guys trying to fuse together. Exercise makes them all energetic and ready to go, and then challenging yourself, via a puzzle or just trying something new, will help those guys fuse in new and improved ways. So you can increase the amount of brain activity through exercise, and then transfer that to intelligence through trying new things. Of course, that's a really simplified way to look at it, but there's more complicated science behind it.