Set to spin a bit of a yarn (5)
I believe the answer is:
telly
'set' is the definition.
(telly is a kind of set)
'spin a bit of a yarn' is the wordplay.
'spin' becomes 'tell' ('tell' can be a synonym of 'spin').
'a bit of' indicates taking the first letters.
The first letter of 'yarn' is 'y'.
'tell'+'y'='TELLY'
'to' is the link.
(Other definitions for telly that I've seen before include "cop in seventies" , "'The box' (colloquial)" , "- - Savalas" , "Television" , "Familiar name for TV" .)