Cold place to go in centre of Sleaford (5)
I believe the answer is:
aloof
'cold' is the definition.
(both can mean distant)
'place to go in centre of sleaford' is the wordplay.
'place to go' becomes 'loo' ('go' can mean 'urinate').
'in' means one lot of letters goes inside another.
'centre of' says to take the centre.
The centre of 'sleaford' is 'af'.
'loo' placed inside 'af' is 'ALOOF'.
(Other definitions for aloof that I've seen before include "Distant or stuck-up" , "Disinterested" , "Snooty" , "Indifferent - by oneself" , "Remote in manner" .)