By default, the setup runs on CPU only, not GPU, as could be seen by running htop. But by the magic of PyTorch, modifying the program to run on the GPU is trivial:
cat << EOF | patch
diff --git a/run.py b/run.py
index 104d363..20072d1 100644
--- a/run.py
+++ b/run.py
@@ -24,7 +24,8 @@ data_test = MNIST('./data/mnist',
 data_train_loader = DataLoader(data_train, batch_size=256, shuffle=True, num_workers=8)
 data_test_loader = DataLoader(data_test, batch_size=1024, num_workers=8)

-net = LeNet5()
+device = 'cuda'
+net = LeNet5().to(device)
 criterion = nn.CrossEntropyLoss()
 optimizer = optim.Adam(net.parameters(), lr=2e-3)

@@ -43,6 +44,8 @@ def train(epoch):
     net.train()
     loss_list, batch_list = [], []
     for i, (images, labels) in enumerate(data_train_loader):
+        labels = labels.to(device)
+        images = images.to(device)
         optimizer.zero_grad()

         output = net(images)
@@ -71,6 +74,8 @@ def test():
     total_correct = 0
     avg_loss = 0.0
     for i, (images, labels) in enumerate(data_test_loader):
+        labels = labels.to(device)
+        images = images.to(device)
         output = net(images)
         avg_loss += criterion(output, labels).sum()
         pred = output.detach().max(1)[1]
@@ -84,7 +89,7 @@ def train_and_test(epoch):
     train(epoch)
     test()

-    dummy_input = torch.randn(1, 1, 32, 32, requires_grad=True)
+    dummy_input = torch.randn(1, 1, 32, 32, requires_grad=True).to(device)
     torch.onnx.export(net, dummy_input, "lenet.onnx")

     onnx_model = onnx.load("lenet.onnx")
EOF
and leads to a faster runtime, with less user as now we are spending more time on the GPU than CPU:
real    1m27.829s
user    4m37.266s
sys     0m27.562s