Kinks to play winter sport stadium at first (5)
I believe the answer is:
curls
'kinks' is the definition.
('curl' can be a synonym of 'kink')
'play winter sport stadium at first' is the wordplay.
'play winter sport' becomes 'curl'.
'at first' indicates taking the first letters.
The initial letter of 'stadium' is 's'.
'curl'+'s'='CURLS'
'to' acts as a link.
(Other definitions for curls that I've seen before include "Ringlets or whorls" , "Curved or spiral shapes" , "Twists" .)