Made off with the 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' is an anagram indicator.
'made' with letters rearranged gives 'EDAM'.
'with the' is the link.
(Other definitions for edam that I've seen before include "Hard Dutch cheese" , "Dutch 8 across" , "Made into a nice cheese" , "Red-coated cheese" , "Yellow cheese with a red covering" .)