If many people have similar experience like me (tried to find rationality in Mensa, became disappointed, and eventually left), perhaps we could try to gain these people for rationality. Don't search among long-term Mensans; look at the fresh ones. They are preselected for IQ, and also for wanting some new experience -- we could offer them an alternative to Mensa, while outsourcing most of the costs of finding them.

It would probably work better if you do not present it as an alternative to Mensa, and do not think of LessWrong and CFAR as rivals to Mensa. Just start a special interest group within Mensa on the subject of practical rationality. To avoid the taint of entryism it would be best if it were started by people already in Mensa, if there are any such LWers.

Within Mensa, "if we're so smart, why aren't we rich?" is a FAQ. If the Rationality SIG could be started by people who actually are rich (or otherwise successful), so much the better.