Made off with cheese (4)
I believe the answer is:
edam
'cheese' is the definition.
(I know that Edam is a type of cheese)
'made off' is the wordplay.
'off' indicates an anagram.
'made' with letters rearranged gives 'EDAM'.
'with' is the link.
(Other definitions for edam that I've seen before include "Madeinto popular cheese" , "Made into a nice cheese" , "Mild yellow Dutch cheese" , "Dutch specialty" , "town in Holland" .)