She comes out of the wood with a new hat! (6)
I believe the answer is:
thelma
'she' is the definition.
'out of the wood with a new hat' is the wordplay.
'out of' is an insertion indicator (some letters on the outside of others).
'the wood with' becomes 'elm' (I can't explain this - if you can you should give a lot more credence to this answer).
'a new' is an anagram indicator.
'hat' is an anagram of 'tha'.
'elm' put into 'tha' is 'THELMA'.
'comes' is the link.
Can you help me to learn more?
(Other definitions for thelma that I've seen before include "-- and Louise, 1991 film" , "Girl" , "Louise's friend" , "Woman" , "Louise's partner" .)