I must visit the loo quick! Finally - a village! (4)
I believe the answer is:
wick
'a village' is the definition.
(thesaurus)
'i must visit the loo quick finally' is the wordplay.
'must visit' means one lot of letters goes inside another.
'the loo' becomes 'wc' ('W.C.' can be a synonym of 'loo').
'finally' suggests the final letters.
The final letter of 'quick' is 'k'.
'i' inserted into 'wc' is 'wic'.
'wic'+'k'='WICK'
(Other definitions for wick that I've seen before include "Highland town" , "Caithness seaport" , "Beginners" , "Candle string" , "Candle fibre" .)