My word soon set wretch off
I believe the answer is:
stone the crows
'my word' is the definition.
(both are expressions of surprise)
'soon set wretch off' is the wordplay.
'off' is an anagram indicator.
'soon'+'set'+'wretch'='soonsetwretch'
'soonsetwretch' with letters rearranged gives 'STONE THE CROWS'.
(Other definitions for stone the crows that I've seen before include "Good grief!" , "Expression showing surprise" , "My goodness!" , "Chesterton sow (anag) - expression of amazement" .)