Figure month must lead to endless anguish (7)
I believe the answer is:
decagon
'figure' is the definition.
(type of geometrical figure)
'month must lead to endless anguish' is the wordplay.
'month' becomes 'dec' (abbreviation for December).
'must lead' means one lot of letters go next to another (some letters must go in front of others).
'to endless' means to remove the last letter.
'anguish' becomes 'agony' (I've seen this in another clue).
'agony' with its final letter removed is 'agon'.
'dec'+'agon'='DECAGON'
(Other definitions for decagon that I've seen before include "10-sided figure" , "Go, dance on geometric figure with ten sides" , "Figure with 10 sides" , "Plane shape" , "Ten-sided shape" .)