I waltz around with a bag (6)
I believe the answer is:
valise
'a bag' is the definition.
(valise is a kind of bag)
'i waltz around' is the wordplay.
'waltz' becomes 'valse' ('valse' can be a synonym of 'waltz').
'around' indicates putting letters inside.
'i' put within 'valse' is 'VALISE'.
'with' is the link.
(Other definitions for valise that I've seen before include "Elvis A? (anag)" , "Small travelling bag or suitcase" , "Overnight case" , "Small overnight bag" , "Small piece of luggage" .)