Naughtily at it, caught in upper room (5)
I believe the answer is:
attic
'upper room' is the definition.
(I've seen this before)
'naughtily at it caught' is the wordplay.
'naughtily' is an anagram indicator.
'caught' becomes 'c' (cricket abbreviation).
'at'+'it'='atit'
'atit' anagrammed gives 'atti'.
'atti'+'c'='ATTIC'
'in' is the link.
(Other definitions for attic that I've seen before include "Floor" , "Athenian - garret" , "Upstairs room" , "Dusty room" , "Of Athens" .)