Naughtily wants to wear a feather scarf in a southern African country (8)
I believe the answer is:
botswana
'a southern african country' is the definition.
(I've seen this before)
'naughtily wants to wear a feather scarf' is the wordplay.
'naughtily' is an anagram indicator.
'to wear' indicates putting letters inside (to wear something is to be covered up by it).
'a feather scarf' becomes 'boa' (I've seen this in another clue).
'wants' with letters rearranged gives 'tswan'.
'tswan' placed inside 'boa' is 'BOTSWANA'.
'in' is the link.
(Other definitions for botswana that I've seen before include "Boa wasn't, strangely, in the African state" , "Southern African nation" , "Boa wasn't taken out in the African state" , "African country, setting for "The No. 1 Ladies' Detective Agency"" , "Central African state" .)