Play double set to capture record? That's most expensive (8)
I believe the answer is:
steepest
'most expensive' is the definition.
(steep can mean very expensive)
'play double set to capture record?' is the wordplay.
I cannot really see how this works, but
an anagram of 'set' is 'ste' which is present in the answer.
'record?' could be 'ep' (abbreviation for extended play record) and 'ep' is located in the answer.
The remaining letters 'est' is a valid word which might be clued in a way I don't understand.
This explanation may well be incorrect...
'that's' acts as a link.
(Other definitions for steepest that I've seen before include "Rising most sharply" , "extremely dear" , "With the sharpest incline" , "most severe" , "Most expensive" .)