Links he and I forged, making capital? (8)
I believe the answer is:
helsinki
'capital?' is the definition.
(Helsinki is an example)
'links he and i forged' is the wordplay.
'and' means one lot of letters go next to another (I've seen this in other clues).
'forged' is an anagram indicator.
'links'+'he'='linkshe'
'linkshe' put after 'i' is 'ilinkshe'.
'ilinkshe' with letters rearranged gives 'HELSINKI'.
'making' acts as a link.
(Other definitions for helsinki that I've seen before include "Liken his strange city to one in Finland" , "foreign capital" , "European capital, venue for the 1952 Olympics" , "1952 Olympic Games venue" , "Main city of Finland" .)