Dine out on fancy grub - Heston's starter is capital (9)
I believe the answer is:
edinburgh
'is capital' is the definition.
(I've seen this before)
'dine out on fancy grub heston's starter' is the wordplay.
'out' indicates an anagram (out can mean wrong or inaccurate).
'on' means one lot of letters goes inside another.
'fancy' is an anagram indicator.
'starter' says to take the initial letters.
The first letter of 'heston' is 'h'.
'dine' anagrammed gives 'edin'.
'grub' anagrammed gives 'burg'.
'edin' inserted into 'burg' is 'edinburg'.
'edinburg'+'h'='EDINBURGH'
(Other definitions for edinburgh that I've seen before include "Scottish capital" , "Lothian city" , "City on the Firth of Forth" , "Capital city of Scotland" , "Auld Reekie" .)