Riddle of Sphinx is for Theban, first of all (4)
I believe the answer is:
sift
'riddle' is the definition.
(thesaurus)
'sphinx is for theban first of all' is the wordplay.
'first of all' says to take the initial letters.
The first letters of 'sphinx is for theban' is 'SIFT'.
'of' acts as a link.
(Other definitions for sift that I've seen before include "Examine minutely" , "Get lumps from (flour)" , "screen" , "Analyse carefully in fist" , "Examine (eg evidence) discriminatingly" .)