Beg Penny to go first (5)
I believe the answer is:
plead
'beg' is the definition.
(thesaurus)
'penny to go first' is the wordplay.
'penny' becomes 'd'.
'to go' becomes 'plea' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'first' says to put letters next to each other.
'd' after 'plea' is 'PLEAD'.
Can you help me to learn more?
(Other definitions for plead that I've seen before include "Make an emotional appeal" , "Claim; entreat" , "Offer something in excuse!" , "Present an argument in court" , "advocate in court" .)