Keen on one set of books only, at first (4)
I believe the answer is:
into
'keen on' is the definition.
(if you're 'into' something you're keen on it)
'one set of books only at first' is the wordplay.
'one' becomes 'i' (Roman numeral).
'set of books' becomes 'NT' (New Testament).
'at first' indicates taking the first letters.
The initial letter of 'only' is 'o'.
'i'+'nt'+'o'='INTO'
(Other definitions for into that I've seen before include "Not I (anag.)" , "Taking an active and lively interest (in something)" , "Fascinated by" , "To a point within - not I" , "Two -- six is three" .)