Soldier at favourite wall (7)
I believe the answer is:
parapet
'wall' is the definition.
(thesaurus)
'soldier at favourite' is the wordplay.
'soldier' becomes 'para' (para is a kind of soldier**).
'at' is a charade indicator (letters next to each other).
'favourite' becomes 'pet' ('pet' can be a synonym of 'favourite').
'para'+'pet'='PARAPET'
(Other definitions for parapet that I've seen before include "wall used for protection" , "Breastwork" , "wall, protective one" , "Roof-edge wall" , "Militarily, it protects" .)