Dagger that is lethal first of all used in set-to (8)
I believe the answer is:
stiletto
'dagger' is the definition.
(stiletto is a kind of dagger)
'that is lethal first of all used in set-to' is the wordplay.
'first of all' indicates taking the first letters.
'used in' means one lot of letters goes inside another.
The initial letters of 'that is lethal' is 'til'.
'til' placed within 'set' is 'stilet'.
'stilet'+'to'='STILETTO'
(Other definitions for stiletto that I've seen before include "Stabbing dagger or high heel" , "Pointed arm" , "Possible cause of stabbing pains" , "Item of footwear" , "Tapering dagger" .)