One does associate with hunters at last catching game (4)
I believe the answer is:
stag
'one does associate with' is the definition.
(does are female deer)
'hunters at last catching game' is the wordplay.
'at last' says to take the final letters.
'catching' means one lot of letters go next to another.
'game' becomes 'tag' (children's playground game).
The final letter of 'hunters' is 's'.
's'+'tag'='STAG'
(Other definitions for stag that I've seen before include "Stockmarket operator gambling on a quick profit" , "without female escort" , "Share speculator" , "Stock market speculator" , "Excluding women" .)