Soldier at favourite wall (7)
I believe the answer is:
parapet
'wall' is the definition.
(I've seen this before)
'soldier at favourite' is the wordplay.
'soldier' becomes 'para' (paratrooper).
'at' means one lot of letters go next to another.
'favourite' becomes 'pet' (synonyms).
'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" .)