Broadly speaking, yes. Areas of the brain that are more active receive greater blood flow and take up more glucose. The increased blood flow is actually what allows fMRI scanners to detect brain activity. You might think that a less intelligent person would need to spend more calories on thinking harder about a given problem, but a 1995 study at the University of California, Irvine, found the opposite. When a mental problem seems easy for you, it is because you have more neurones that can work towards solving the problem. Your total energy expenditure is higher, but your subjective sense of the effort required is lower.
However, this research only looked at the short-term energy use while test subjects were focusing on the problem. You can’t generalise this to conclude that a higher IQ brain uses more calories over the course of an ordinary day. And in any case, the number of extra calories burned during thinking is very small compared to the base energy requirements of the brain when it isn’t doing anything. Your brain uses about 300 calories a day just to maintain its own tissues. Concentrating on hard problems only increases this by 20 to 50 calories per day. That’s about the same as you’d burn walking for four minutes.
So unless you’re doing sudoku puzzles on a treadmill, mental activity will actually reduce your overall calories burnt, simply by taking time away from more physical activities.