Fur keeps friend out of cold (10)
I believe the answer is:
chinchilla
'fur' is the definition.
(chinchilla is a kind of fur)
'friend out of cold' is the wordplay.
'friend' becomes 'china' (cockney rhyming slang, mate is china plate).
'out of' means one lot of letters goes inside another.
'cold' becomes 'chill' (chill is a kind of cold**).
'china' going around 'chill' is 'CHINCHILLA'.
'keeps' acts as a link.
(Other definitions for chinchilla that I've seen before include "Soft grey fur" , "Rabbit" , "little furry animal" , "(Fur of) a small South American rodent" , "furry creature" .)