In I go, to grab the figure in blue (6)
I believe the answer is:
indigo
'blue' is the definition.
(I know that indigo is a type of blue)
'in i go to grab the figure' is the wordplay.
'to grab' indicates putting letters inside.
'the figure' becomes 'd' (I've seen this in other clues).
'in'+'i'+'go'='inigo'
'inigo' going around 'd' is 'INDIGO'.
'in' is the link.
(Other definitions for indigo that I've seen before include "Natural blue dye" , "Settlement; New Mexico native" , "Colour - I'd go in (anag)" , "type of dye" , "Blue dyestuff" .)