A whimsical setting for Turner's first etching (8)
I believe the answer is:
aquatint
'etching' is the definition.
(aquatint is a kind of etching)
'a whimsical setting for turner's first' is the wordplay.
'whimsical' becomes 'quaint' (I've seen this before).
'setting for' means one lot of letters goes inside another (inserted letters are set inside others).
'turner's first' becomes 't' (1st letter of 'turner').
'quaint' going around 't' is 'quatint'.
'a'+'quatint'='AQUATINT'
(Other definitions for aquatint that I've seen before include "sort of engraving" , "form of etching" , "Type of print" , "Watercolour-like etching" .)