The sound of thieves makes you cry in exasperation (8)
I believe the answer is:
knickers
'cry in exasperation' is the definition.
Although both the answer and definition are singular nouns, I don't see how they can define each other.
'the sound of thieves' is the wordplay.
'the sound of' becomes 'k' (I can't explain this - if you can you should give a lot more credence to this answer).
'thieves' becomes 'nickers' (nick can mean to steal).
'k'+'nickers'='KNICKERS'
'makes you' acts as a link.
Can you help me to learn more?
(Other definitions for knickers that I've seen before include "Pants" , "Female undergarment" , "Panties" , "Mild expletive" , "Drat!" .)