Soldier has favourite wall (7)
I believe the answer is:
parapet
'wall' is the definition.
(I know that parapet is a type of wall)
'soldier has favourite' is the wordplay.
'soldier' becomes 'para' (paratrooper).
'has' says to put letters next to each other.
'favourite' becomes 'pet' (synonyms).
'para'+'pet'='PARAPET'
(Other definitions for parapet that I've seen before include "form of protection" , "Defensive line" , "Fortification consisting of a low wall" , "balustrade" , "part of castle" .)