Though I came up with the term, I can't have been the first person to think of the idea.
Basically, it means that to augment your love and knowledge of one particular art (writing, painting, acting, etc.) by studying other arts, just like athletes train with other sports during the off-season. The attributes of each art coincide with important facets of others, and practice in one increases skill in the other.
Let's take myself as an example. Writing is my passion, but I also study theater, music, and art. Theater helps writers think about character, the use of drama and plot arcs, immediacy, and knowledge of how theater actually works is vital if one wants to write a play. Music captures emotion and the subtle swings of it in a storyline, and makes one into a more effective lyricist. Drawing and painting calls attention to detail and aids in description. This applies to other types of artists too: painters need to be able to capture an emotion in the same way as musicians, and painting will help actors picture the detail around them in a scene.
Why does this work?
All art has the same basic purpose(s). What this is, exactly, is up for debate, and sometimes varies in each situation or individual, but can apply to all arts. Some common ones are to entertain, to connect with fellow human beings on an emotional level, or sometimes to teach a moral or a fact. Though each art goes about this in a different way, their paths converge the closer they get to this goal, and therefore the best art in each field has elements of each of them and uses them effectively.
Also, it gives you the ability to write musicals and illustrate your own childrens' books. Important life skills, guys.