Mastery of European, cheeky one, in kinky sex (9)
I believe the answer is:
expertise
'mastery' is the definition.
(I've seen this in another clue)
'european cheeky one in kinky sex' is the wordplay.
'european' becomes 'E' (abbreviation e.g. EU).
'cheeky' becomes 'pert' (pert can mean cheeky or insolent).
'one' becomes 'i' (Roman numeral).
'in' indicates putting letters inside.
'kinky' indicates anagramming the letters.
'pert'+'i'='perti'
'sex' is an anagram of 'xse'.
'perti' inserted into 'xse' is 'xpertise'.
'e'+'xpertise'='EXPERTISE'
'of' is the link.
(Other definitions for expertise that I've seen before include "Skill or knowledge in a particular field" , "Adroitness" , "Craft" , "Thorough knowledge" , "professionalism" .)