Cover up, lady; the heat is off (7)
I believe the answer is:
sheathe
'cover' is the definition.
(to sheathe something is to cover it)
'up lady the heat is off' is the wordplay.
'up lady' becomes 'she' ('she' refers to a woman. I am not sure about the 'up' bit.).
'is off' is an anagram indicator.
'heat' with letters rearranged gives 'athe'.
'she'+'athe'='SHEATHE'
Can you help me to learn more?
(Other definitions for sheathe that I've seen before include "Put (a sword) it its cover" , "Protective cover, for sword say" , "Put (a sword) into case" , "Put away (a sword)" , "Encase in protection" .)