Bread roll: start to bake a set (5)
I believe the answer is:
bagel
'bread roll' is the definition.
(I've seen this in another clue)
'start to bake a set' is the wordplay.
'start to' indicates taking the first letters.
'set' becomes 'gel' (both can mean to harden).
The initial letter of 'bake' is 'b'.
'b'+'a'+'gel'='BAGEL'
(Other definitions for bagel that I've seen before include "Hard bread roll in shape of ring" , "Ring-shaped bread roll" , "Toroidal bread roll" , "Hard doughnut-shaped roll" , "Doughnut-shaped bread roll" .)