What do they mean use or lose it?

Lots of things. Referring to a skill or muscular development, keep practicing it. There is a nasty, widespread idea that one must try to be as sexually active as one can or one will soon become prematurely impotent / frigid; that's just not so.
Keeping active. I agree with dr. Friedlander. Also, i'd include our cognitive and memory functions in this "use it or lose it" theme. Keeping our minds alive by reading things that require effort and concentration, doing puzzles, and learning new activities and subjects keeps our neurons continually creating synapses. The more associational connections, the more creative we can be.