Soldier on favourite wall (7)
I believe the answer is:
parapet
'wall' is the definition.
(I know that parapet is a type of wall)
'soldier on favourite' is the wordplay.
'soldier' becomes 'para' (short for paratrooper).
'on' is a charade indicator (letters next to each other) (in a down clue, letters appear on others).
'favourite' becomes 'pet' (synonyms).
'para'+'pet'='PARAPET'
(Other definitions for parapet that I've seen before include "Low wall round edge of balcony" , "works" , "keep overlooking this?" , "Wall at roof's edge" , "Protective cover" .)