Well remember, all conservation laws are under the assumption that it is a closed system and there are no outside forces acting on it. If I were to place a ball at the top of an incline and let it roll down, the system will suddenly have angular momentum when it did not before. This is due to the fact that it is in contact with the incline, producing a static frictional force and is thus not a closed system.
If that ball were to slam into another ball, neglecting loss of energy to heat and drag, and both balls were to start spinning, you could apply conservation of angular momentum to deduce their individual angular momentums given the initial angular momentum and the radius of the spheres, etc. Of course the spheres, over time would stop spinning due to air resistance, thus it is not a perfectly closed system.
You can apply this to the gyroscope. In order for it to gain angular momentum when it has none, it needs an outside force. Your hand giving it a spin or something like that. Over time the gyroscope will lose this angular momentum to air resistance, but if you were to account for the gain in angular momentum of every particle of air, you would find that it is conserved.