Saucy redhead held in caress (4)
I believe the answer is:
pert
'saucy' is the definition.
('pert' can be a synonym of 'saucy')
'redhead held in caress' is the wordplay.
'redhead' becomes 'r' (the head/first letter of 'red').
'held in' means one lot of letters goes inside another.
'caress' becomes 'pet' (petting is a kind of caressing**).
'r' going into 'pet' is 'PERT'.
(Other definitions for pert that I've seen before include "Cheeky, saucy" , "Forward - saucy" , "Persian expert" , "Impudent, cheeky" , "Saucy and chipper" .)