This easiest way is to use the enthought python distribution. They already have MKL packaged within the software. But it seems to be slower than the version that i compiled.
The instruction on Scipy's website does not work with the newest version(10.3) of Intel MKL. With Intel MKL, one can have multi-thread support for many numerical functions. Note: if you want to enable multi-thread for MKL, set the os environment variable OMP_NUM_THREADS to the number of threads (e.g. number of cores) that MKL can use.