Catch girl with nothing on underneath! (5)
I believe the answer is:
lasso
'catch' is the definition.
(I know this)
'girl with nothing on underneath' is the wordplay.
'girl' becomes 'lass' (lass can informally mean a girl).
'with' means one lot of letters go next to another.
'nothing' becomes 'O' (O resembles 0).
'on' means one lot of letters go next to another.
'underneath' is a charade indicator (letters next to each other) (in a down clue, some letters go under others).
'lass'+'o'='LASSO'
(Other definitions for lasso that I've seen before include "Rope with noose for catching animals" , "What cowboy uses" , "Ling-nosed rope" , "Looped rope used to catch cattle" , "Rope for throwing" .)