Fay, said to be whimsical (3)
I believe the answer is:
fey
'be whimsical' is the definition.
(I've seen this before)
'fay said' is the wordplay.
'said' indicates a 'sounds like' (homophone) clue.
'fay' sounds like 'FEY'.
'to' is the link.
(Other definitions for fey that I've seen before include "slightly mad" , "Having strange other-world charm" , "Whimsical" , "Elfin or slightly touched" , "Having strange charm, or doomed in Scotland" .)