In my experience, putting Mensa on your CV doesn't really signal what you think it signals. It's not a terribly high bar (relative to a lot of other signaling mechanisms), so to me, adding Mensa to the CV signals that (1) you're insecure enough in your other accomplishments that you think you need the Mensa membership or that it adds something useful to the signal you're sending, and (2) you're un-smart enough to think the credentials required for admittance are in fact impressive. Neither of these is a signal you want to send.

In other words, all the truly smart people are too smart for Mensa, so it's probably a waste of your time. You don't want to signal that you are smart enough for Mensa; you want to signal that you are too smart to care about it.