Continue to play away (5,2)
I believe the answer is:
carry on
I believe this clue is a double definition.
'continue' is the first definition.
('carry on' can be a synonym of 'continue')
'play away' is the second definition.
(both can mean to have an affair)
'to' acts as a link.
(Other definitions for carry on that I've seen before include "Don't give up" , "Questionable behaviour" , "song and dance" , "Continue - make a fuss" , "Have an affair - cause a fuss - continue" .)