Each letter thus free at last in Birmingham, say, where anything goes (10,7)

'where anything goes' is the definition.
(society where anything is permitted)

'each letter thus free at last in birmingham' is the wordplay.
I cannot quite understand how this works, but
'each' could be 'per' ('per' can mean for each) and 'per' is located in the answer.
'letter' could be 'missive' (synonyms) and 'missive' is found in the answer.
'thus' could be 'so' (synonyms) and 'so' is present in the answer.
'last' could be 't' (I've seen this in other clues) and 't' is found in the answer.
This explanation may well be incorrect...

'say' acts as a link.