Conservative caught in European caper (5)
I believe the answer is:
dance
'caper' is the definition.
(I've seen this in other clues)
'conservative caught in european' is the wordplay.
'conservative' becomes 'C' (UK political abbreviation).
'caught in' means one lot of letters goes inside another.
'european' becomes 'dane' (someone from Denmark).
'c' put inside 'dane' is 'DANCE'.
(Other definitions for dance that I've seen before include "Move rhythmically" , "Waltz, say" , "Bop" , "Caned (anag.)" , "Ball; hop" .)