Part of London oh so naughty! (4)
I believe the answer is:
soho
'part of london' is the definition.
(I've seen this before)
'oh so naughty' is the wordplay.
'naughty' is an anagram indicator.
'oh'+'so'='ohso'
'ohso' is an anagram of 'SOHO'.
(Other definitions for soho that I've seen before include "Theatre and night-life district of London" , "capital district" , "foreign quarter" , "London district known for its nightlife" , "Nightclub area in London" .)