Made off with Dutch cheese (4)
I believe the answer is:
edam
'dutch cheese' is the definition.
(cheese named after a Dutch town)
'made off' is the wordplay.
'off' is an anagram indicator.
'made' anagrammed gives 'EDAM'.
'with' is the link.
(Other definitions for edam that I've seen before include "Netherlands cheese" , "Cheese made in Holland" , "Red-coated cheese" , "Cheese made badly" , "Dutch specialty" .)