Set off for race holding record (6)
I believe the answer is:
depart
'set off' is the definition.
('depart' can be a synonym of 'set off')
'race holding record' is the wordplay.
'race' becomes 'dart' (darting is a kind of racing**).
'holding' indicates putting letters inside.
'record' becomes 'ep'.
'dart' going around 'ep' is 'DEPART'.
'for' acts as a link.
(Other definitions for depart that I've seen before include "Petard (anag.)" , "Take one's leave, go" , "Go away or leave" , "Leave (6)" , "make tracks" .)