Cover that woman to keep warm (7)
I believe the answer is:
sheathe
'cover' is the definition.
(to sheathe something is to cover it)
'woman to keep warm' is the wordplay.
'woman' becomes 'she' ().
'to keep' indicates putting letters inside.
'warm' becomes 'heat'.
'she' placed around 'heat' is 'SHEATHE'.
'that' is the link.
(Other definitions for sheathe that I've seen before include "Put away (a sword)" , "stow away safely" , "Put into scabbard" , "Put (a sword) into its holder" , "Put (a sword) into case" .)