Got out, thrilled to avoid the cold (6)
I believe the answer is:
exited
'got out' is the definition.
('exit' can be a synonym of 'get out')
'thrilled to avoid the cold' is the wordplay.
'thrilled' becomes 'excited' ('excited' can be similar in meaning to 'thrilled').
'to avoid' indicates named letters should be taken away.
'the cold' becomes 'c' (eg on taps).
'excited' with 'c' taken away is 'EXITED'.
(Other definitions for exited that I've seen before include "Went out as actors do" , "Went out, probably through door" , "Went out, departed" , "Took one's leave" , "Left the stage" .)