Danger of veil covering sex with female (7)
I believe the answer is:
pitfall
'danger' is the definition.
(I've seen this before)
'veil covering sex with female' is the wordplay.
'veil' becomes 'pall' (both can mean a covering).
'covering' is an insertion indicator.
'sex' becomes 'it' (a common euphemism).
'with' means one lot of letters go next to another.
'female' becomes 'f' (abbreviation).
'it'+'f'='itf'
'pall' enclosing 'itf' is 'PITFALL'.
'of' acts as a link.
(Other definitions for pitfall that I've seen before include "Unsuspected danger or difficulty - for miner?" , "Unforeseen difficulty" , "Trap in the form of a concealed hole" , "Unexpected problem" , "Hazard" .)