Go back inside and say thanks a million for the protective covering (4)
I believe the answer is:
mask
'the protective covering' is the definition.
(mask is a kind of protective covering)
'go back inside and say thanks a million' is the wordplay.
I cannot quite understand how this works, but
'say' could be 'as' (I've seen this in other clues) and 'as' is found within the answer.
'million' could be 'm' (abbreviation) and 'm' is found in the answer.
A single letter 'k' remains which might be clued in a way I don't see.
This explanation may well be incorrect...
'for' is the link.
Can you help me to learn more?
(Other definitions for mask that I've seen before include "Visor; disguise" , "Screen" , "Camouflage" , "cloak" , "One hiding, protecting face" .)