Puzzles and games enhance the quality of teaching by creating an enjoyable, interactive, and playful atmosphere. The knight exchange is a famous, very old, and amusing game on the chessboard. This puzzle was used by the author to teach modeling in a mathematical programming course designed for graduate students. The aim was to teach the students the efficiency of the models. Accordingly, first, a binary programming formulation was developed. This formulation was, however, found to be inefficient, and tremendous time (i.e., more than four hours) and a large amount of processing memory were needed to solve the puzzle. The puzzle was subsequently formulated as a minimum cost network flow problem. The latter formulation outperformed the general binary formulation by solving the puzzle in less than a minute. The network formulation could also save the required processing memory. The results could help students to learn the value of modeling combinatorial optimization problems as network flows.