Leave with the thing at once (4)
I believe the answer is:
exit
'leave' is the definition.
('exit' can be a synonym of 'leave')
'the thing at once' is the wordplay.
'the thing' becomes 'it'.
'at' says to put letters next to each other (I've seen this in other clues).
'once' becomes 'ex'.
'it' put after 'ex' is 'EXIT'.
'with' is the link.
(Other definitions for exit that I've seen before include "Sudden rush of pleasure" , "Way to go!" , "Leave the stage" , "Actor's departure" , "Escape route?" .)