I feel cold winds, having wrapped love in frozen sheet (3,4)
I believe the answer is:
ice floe
'frozen sheet' is the definition.
(I know this)
'i feel cold winds having wrapped love' is the wordplay.
'cold' becomes 'c' (eg on taps).
'winds' is an anagram indicator (the letters wind around).
'having wrapped' indicates putting letters inside (inserted letters get wrapped by others).
'love' becomes 'o' (love means zero in tennis).
'feel'+'c'='feelc'
'feelc' is an anagram of 'cefle'.
'cefle' enclosing 'o' is 'cefloe'.
'i'+'cefloe'='ICE-FLOE'
'in' is the link.
(Other definitions for ice floe that I've seen before include "Expanse of frozen water" , "Cold sheet" , "Large sheet of frozen water" , "Frozen floating object" , "One might drift from the pack" .)