Don't mention in your cover letter or resume that you're a MENSA member.
Just ... don't.
A candidate just told me that although she's unable to use the program that is a critical component of the job, she's sure she could do the job well anyway, and she added in parentheses: "(I am a member of MENSA)"
It's not convincing, and it's a little obnoxious.
(As an interesting side note, the qualifications for MENSA aren't even all that high, but that's so not the point.)