Follow on, say, caught by appeal (5)
I believe the answer is:
segue
'follow on' is the definition.
(I've seen this before)
'say caught by appeal' is the wordplay.
'say' becomes 'eg' (both can mean for example).
'caught by' is an insertion indicator.
'appeal' becomes 'sue' (I've seen this before).
'eg' placed inside 'sue' is 'SEGUE'.
(Other definitions for segue that I've seen before include "Change smoothly from one thing to another" , "Smooth musical transition" , "Move between songs, etc, without a pause" , "Follow smoothly on" , "carry on" .)