That will teach you to have a smaller wager! (6)
I believe the answer is:
lesson
'that will teach you to' is the definition.
I can't judge whether this defines the answer.
'a smaller wager' is the wordplay.
'a smaller' becomes 'less' (less great in size).
'wager' becomes 'on' (I can't explain this - if you can you should believe this answer much more).
'less'+'on'='LESSON'
'have' acts as a link.
Can you help me to learn more?
(Other definitions for lesson that I've seen before include "Sermon or example" , "Bible passage read as part of a church service" , "Severe reproof" , "A session in school or an example" , "School period" .)